I often see people struggling to keep their shanty from blowing away and also see numerous advertisements for screws to hold tents down or other expensive devices that do not work as well as the simple tent peg that I use.
I use K-Mart metal tent pegs that cost a buck or so a piece and come in packs of 5. If one becomes frozen in so bad it is a pain to remove I can cut it off and not be out too much. (no, I don't drive them into the ice) I tie a rope to the peg slightly off center and drop it down the hole. A quick pull upward will cause it to go sideways and it is a fool proof way to hold your tent or shanty. If you tie it in the middle it is a little harder to get out, but an ice scoop can be used to remove it. K-Mart also sells a cord for camping that resembles parachute cord and it is excellent for tying to the pegs. On normal days I use one or two on the upwind side. On really bad days you can add one or two more. I always have a few spares to give out to people who have purchased those screw pegs and have given up on them.
If you are too cheap to spend a buck on a tent peg, you can use a 10 or 12 inch section of conduit pipe or any metal rod will do and in a pinch I have used sections of tree limbs or other pieces of wood. The key is to get your tent holder below the ice and crosswise to the hole. Use a long enough section of cord to give you room to drop the holder all the way through the ice and have plenty of room to reach the tent. I use 7 or 8 feet of cord on each of mine. This works even on very thick ice if you have it tied slightly off center.