Well in case you didn't know, there is a cool and fun place in Colorado where you can fulfill your sand sledding thrills. Let me introduce you to The Great Sand Dunes National Park in Mosca, Colorado and about a 3 hour drive from Colorado Springs and a 3 1/2 hour drive from Denver.
If you don't own a sled you can rent one from the Great Sand Dunes Oasis store for $10 each, it's on the same road a few miles before you arrive to the Great Sand Dunes National Park. (Sleds are not provided at the Park)
These sand dunes are considered the tallest found in North America, they can be quite a workout to climb but so worth it. Just pace yourself and make sure to have plenty of water with you. If you wish to make most of your trip to Mosca, Co then I suggest you also visit Zapata Falls. It's about a 25 minute drive from the Sand Dunes, but be warned, the terrain to access the waterfall is an uphill rocky and bumpy road.
Once you arrive, you will have to do a half mile uphill hike and finally traverse by foot thru the river (very cold, cold water in the spring and fall) to reach the falls that are hidden in a rocky canyon. Best time to visit may be in the summer where the river is warmer or winter when the river is frozen over. If you're up for an adventure then this would be right up your alley.