Hmm, that's a hard one and you may have to retrain in spring. Honestly I would use a tie out, hopefully spring isn't too far away. The reason being is that they need landmarks. Something they can see as the edge. Your idea of making a border with the sled is a great idea. So I am not sure. It definitely would be prefect but then when your training I am thinking your going to trample the snow around it and it would loose its meaning. Great idea though, just not sure how well it would work.
While I don't like tie outs sometimes they are necessary. Hopefully spring is a month away.