We used a redundant large plastic oil tank (scrubbed out first obviously) with one end cut off, for our Tamworths. Plenty of straw in the bottom, and turned to face away from the prevailing wind.
We tried making straw shelters out of large bales, with corrugated iron as a roof, held down with heavy rocks. They looked very impressive and snug and the pigs loved them - so much that they ate them ...
Reading other replies the secret seems to be plenty of bedding, replaced often - it gets eaten.