To keep an ice cube from melting, the ultimate goal is to keep as much of the ice cube as possible at 32 F for as long as possible. This can be done by insulating the ice cube or by trying to reflect heat away from the ice cube.
Thermal energy travels from things that are hot to things that are cool. This means that the goal is not to contain the cold inside the ice cube, but to protect the ice from the ambient heat. By placing the ice cube in a small Ziplock bag with some air, the temperature will rise more gradually. Each additional bag placed around the first will further help. An individual should not let wind or air conditioning vents blow on the ice cube because they will increase the rate of evaporation, which will reduce the size, and therefore raise the temperature, of the ice cube.