The snow people:  Three balloon balls should make a good base.  If you could find one of those big exercise balls, and one of those large playballs like WalMart carries, and one of the small playballs (nearly everywhere, incl. dollar stores).  Make sure they're firmly inflated, then cover with PM (strip method).  If you will want to remove the balls, leave a hole around the place that you inflate them that's large enough to pull them out after you deflate them.  (Deflate them with the same needle that you inflate them with -- Just stick it in and leave them alone for a while.)

Decide how much the balls have to set inside each other so they look right.  You'll probably have to trim the holes with scissors to make them larger, to set the upper ball into the lower one.  Enlarge gradually so you don't cut away too much. Set the head ball on the middle one with it's hole down.  Hot-glue all the connections, then PM over them for extra support.

For the crystal crown, I would get a bunch of those plastic crystal tree ornaments and just hot-glue them together. Or you might have to use model airplane glue (from a hobby shop, NOT a craft shop), depending on the plastic.  Plastics can be tricky to glue.

OR measure how long the crown would be if flat, gather up a bunch of plastic crystals and lay them face-down on waxed paper so they form a strip as long as you need, and then drizzle hot glue all over the crystals to hold them together.  The glue itself would be the crown, with the crystals embedded.

I would make the sconces of two layers of corrugated cardboard,  but cut each layer opposite to the other in the way the corrugation of the cardboard runs. Cardboard bends quite easily with the corrugations, but not against it, so use that to increase the strength.  Then wrap with PM strips. If you use single-ply cardboard, they shouldn't be too thick.

For those glowing candles, I noticed that some of the dollar stores have those little battery flickering lights ($3 at Michael's), not much larger than tea lights. Just roll up some translucent paper and tape the back (double-stick tape), sized to fit one of those candles or larger. (Note:  I don't know how long those lights last, battery-wise.)

Have fun!

Sue

For something that large, you'll probably need more layers of paper.

I would advise you to stack the three balls (of whatever sizes) to make sure they look right with each other.  If you use a great big one on the bottom, the ones available to you for the top two may look disproportionate.  (Of course, you could name him Old LeadBottom!)

Good luck on your project!

Sue