I've only flown in the winter a few times. It really wasn't very enjoyable, but that might just be me. I haven't done it since I got a sim.

A sled with a rope is really handy if you've got to move your stuff very far from the car. In my experience skis or floats aren't necessary with a .40 size if the snow has a bit of a crust to it. I always went to a local lake, but you've got to be wary of ice fishing holes and snowmobile tracks. Usually there are plenty of unused areas, and the lakes are relatively free from the drifts that you might find at the flying field. If you do go out on a lake, make sure you take someone with you. You'll attract bystanders, and some of them will inevitably get in the way.