Guide: The fastest and easiest way to create a shelter is to look for a nearby mountain or even a large hill. Walk up to its edge and start jackhammering away at the side of it, cube by cube, by holding down the left mouse button. Voila, you now have your very own cave to call your own, and hang your hat if you had one.
So now that you have your modest little cave, you still have to worry about one other little detail: the entrance. You may be safely surrounded by dirt and rock, but if you can enter your cave, so can the creatures of the night.