* Nests: Squirrels build nests in trees (called dreys) or in hollow logs, using leaves, twigs, and other materials to stay warm and dry. They can also use abandoned birdhouses or other sheltered spots.
* Burrows: Some species of squirrels, like ground squirrels, dig burrows underground. These burrows offer protection from rain, snow, and wind.
* Food Stores: Squirrels gather and store food in advance of bad weather, so they have a readily available source of nourishment while staying safe in their nests.
So, squirrels don't exactly "go" anywhere for bad weather. They use their built-in shelters and their foresight in gathering food to make it through!