We have a group that does winter trips every year, and we have all done the cheap plastic sled thing with mixed success. Here is what I have learned:
1. The big plastic toboggans are perfect, high sides keep the snow out, and they have holes so you can bungee your pack right on.
2. Only take a sled if you aren't going to do alot of traversing, or up and down.
3. try to rig a harness or something, makes life way easier than just going for it witht he little rope that comes attached.
4. Don't worry about weight if you are pulling a sled, it really makes life easy... I have taken a case of beer with no worries!
anyway, done it tons with various crappy little kid sleds and always better than not bringing a sled, plus you get to go sledding in virgin powder (at least in utah).