Well, assuming this hypothetical snowman is in a state matching that of Steven Hawking's theory of instantanious transportation, said snowman's snow particles would be kicked up into the wind, combining with nearby floating pencil shavings and some green lighting. The particles would hit the light at the right angle and would create a large dimensional rift, which would, theoretically, release a friendly Cacodemon named Jim-Bob, who would carry the snowman to his hypothetical destination, which in this scenario is Glenellyn, Illinois.