I don't know how well this applies to Tolkien's Elves, but in general folklore and mythology regarding Elves, they are supposedly less substantial than humans, being more ethereal. This makes them very light, and they leave very little impression on the surfaces they come in contact with. The idea of Elves being small came from this- an Elf our size is light enough that one could easily lift him/her, and this was later recounted as them being lesser in staure rather than density.
In the more religious mindsets from the era of fairytales, Men are more dense becuase they were formed from dust, where as Elves were some form of fallen angel. In Tolkien speak, this places them closer to the Valar and the Ainur than Man.
In the same vein, I suppose Dwarves would be somewhat denser than Men.
So, from this, I would say it's not really something they do on purpose, or a skill of any kind, but a natural occurence. Could they make snow angels? Probably, but it would be very shallow. A bonus would be that they wouldn't ruin it by standing up.
EDIT: Also, the core of the Tolkien Elves have a core of flame, which would also make them less dense.