Of course you shouldn't be able to sleep everywhere as it's so cold in Skyrim. Maybe in a cave for example.
The "so cold in Skyrim"-part is hardly accurate. I don't know if you've noticed, but a lot of the areas we've seen so far seem to be rather temperate. Just like Scandinavia, which Skyrim is based on (which certain people will be happy to remind you). Therefore, a cave should not be necessary, except for in the colder areas that is.
I'm not sure I like the idea of putting up an actual tent though. Well, I kind of do, it just seems silly to carry around a frickin' tent, when a bedroll would suffice. Although, a tent could probably protect against Skyrim's weather...