Do you mean a true horse sled? Or are you talking about pulling someone behind you on a toboggan? Or perhaps you sitting in the toboggan?
If the first option, don't do it, you will wreck your sled/saddle/horse/self or some combination of that.
I would also nix the last idea. If you want the horse to drive, then please invest in the proper equipment.
As far as pulling someone behind you on a toboggan while you ride, I will admit that I have done it. Safest way is for you to just hold the rope, that way you can just let go if anything goes wrong. I have in the past tied the sled to the back of the saddle, but I am blessed with a horse who tolerates that sort of nonsense, and in all honesty, I would not reccommend it. But I guess we all have things we have done in the past that we think better of when we age..
Biggest cause for upset is when the sled runs into the back of the horses' legs. They don't tend to like that..