Instantiate a small model of a footprint in the snow (20 polys or something) for each footstep, make sure they're batched and make them disappear or fade out (flatten them?) after 20 seconds.
What Brendan said, but if you are using "real" pits, it might be usefull to set the z depth of the footprints to be lower than the terrain so they always draw above the terrain.
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I want to footprints in the snow. (pits)