This is the simplest entry of them all since my guide is based on what is meant to last just a few days. I won't tell you how to build a log cabin. Basically though you're going to need a place to sleep at night. This is definitely one of those things where you need to weigh your options and get equipment that would fit you best. One of the most important things to keep in mind about your bug out bag is the weight. If you keep everything in your car that's all the better, but if you have to walk the lighter your pack is the easier it is. If you know how to improvise shelter or you learn some good tips so you don't need these things that will save you quite a bit of weight.
1. Sleeping bags. Some sort of bed roll to sleep in is a good idea. Walmart has some very compact and light fleece bags. It's the same material they use to make a snuggy, those blankets with sleeves. They're inexpensive and light weight so if you live in a warm area that would suffice. If you live somewhere colder something heavier might be better. I have a sleeping bag that's rated for about 40 degree weather. It gets a lot colder than that here, but I like the cold weather plus I have extra clothing I can wear to help insulate me. For extra warmth I have a small blanket rolled up inside but I'm gonna get a pillow since I find that's what I end up using the blanket for.
Make sure you have a means to attach your bag to your kit. I have a couple bungie cords and the backpack has some loops I can hook them to.
2. Tent. You can sleep in your car if you want, but if you're on foot that might not be an option. If you're in a place that gets plenty of rain you probably want a dry roof over your head. You can get a small tent at Walmart for cheap. If you're small they have a 5X6 for about $20. I'm a pretty big guy so I went the next smallest I could find which was 7X7 for $30. That sounds like plenty of room for an inexperienced person which I definitely was when I got it. I took the tent on a camping trip and had to share it with another person and I was cramped the whole time. All alone though I could have laid diagonally across the tent which would have offered me plenty of room to stretch out with my gear.
Make sure to get a tent that fits you. They say a tent sleeps X number of people but that usually means it can fit that many small people. The 5x6 tent I mentioned earlier says it can sleep 2 people. It would have barely fit me alone and anyone else would have been uncomfortably close. Also keep in mind that when a tent says it has such dimensions as 5x6 or 7x7 that means the floor area. The walls curve inward so while the floor really was 7' long I still had to lay in the fetal position to actually fit so to fit comfortably in my tent I have to lie diagonally across from corner to corner.
If you have several people traveling together one person could carry a bigger tent, but if you're all alone you won't need a 10x10 tent. Getting a tent that is too big can be difficult to put up and take down all by yourself and the bigger the tent the heavier it is. If you're already carrying a sleeping bag that is bulky and heavy a big tent might not be so good. If you are traveling with someone else though that 10x10 can be worth it. Then you only have to set up one tent rather than two.
3. A tarp is good. Tents come with a rain fly usually. The tent itself often has a mesh screen for part if not all of the ceiling which is bad for rain. The rain fly stretches over the top to keep the rain out. I've been told that these rain flys aren't meant to stand up to the heavy rains we often see in Oregon. I haven't tested this myself and I'd rather not find out. Putting a tarp on top of your tent can provide a little extra insulation and can help make sure the rain stays out.
With a tarp you can improvise tent with some tree branches, para cord, and just about anything else you can find. This is lighter than a tent but isn't near as good a structure as a real tent especially if you're not sure what you're doing.
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