You can build a great sled out of wood with a little effort and the suggestion to use downhill skis was a great one. Do not use cross country skis as they are far too flimsy and will break in no time at all.
I have built two sleighs to date, one for pulling by hand, and another for pulling behind a snowmobile. If you are only going to use it without a machine the sleigh will last for years without maintenance if put together well. Just make sure that you mount the skis at least 6 inches below the deck of the sleigh so that you do not get hung up in fluffy snow or pack ice. I built a 2x2 frame and covered it with 3/8 plywood, all screwed together and then mounted an old plastic truck tool box in the center of it. At each end I screwed down a milk crate which works really nice for 5 gallon pails or propane cylinders. The sleigh is 20 inches wide which provides lots of stability when pulling by hand.
The other one I built was for behind the snowmobile, and it worked really well but the operator needs to be smarter than me and keep the speeds to a minimum. It was built the same as the one above, except I mounted two 4' 2x4 outriggers on top of it(centered perpendicular to the length of the sleigh). I then mounted a third and fourth down hill ski on the ends of the outriggers. I used a 1" steel tube for a tongue which worked well if speeds were not excessive. This sleigh worked really well, even used it to set up our modular 8x12 hut. This is a really cheap way to build a sleigh for hauling gear behind a machine, and as long as you collect old downhill skis from the curb you can change the odd broken ski by removing a few screws in minutes. If you keep speeds to 30-40km/hr and excercise caution around pressure cracks and pack ice a sleigh like this will do you fine.
Hope that helps.