In reply to LomondSiTi:
I can answer this very easily as I tried almost the exact same thing last week. We took the last cable car up, planned to chill out at the station until dusk and then climb the Cosmique Arete. When the station officers/wardens saw us settling down for what looked like the night they told us that we could not stay, that we had to book into the refuge below, that they did not have insurance for cookers. All very reasonable and calm I must admit.
There were certainly a few other people hanging around, but they had arrived late for the last cable car and were taken pity on - and slept in the toilets. We instead had just taken the last car up so it was obviously frowned upon that we were taking the piss. However, in the end we went down to the Col, waited for a bit and then climbed in beautiful solitude. Slept out on the Midi platform that night in 10° temperatures. Didn't get the most pleasant look from the wardens in the morning, but it was ok.
So my advice would be to get out of the station on arrival and return later on when things are a bit quieter. Presuming you're not bringing a tent.