With accent marks:
Лю́бишь ката́ться, люби́ и са́ночки вози́ть.
If you like sledding, you should like to carry the sled.
No doubt, sliding down the slope on a sled is very nice. But then you have to climb the hill again, and even drag the sled.
In anything you do, there are both pleasant and unpleasant moments. You should enjoy doing both.
The closest English equivalent: There is no such thing as a free lunch!
Other Russian proverbs
In a healthy body, healthy mind.
Each sandpiper praises its swamp.
Оne sees the mote in another's eye and ignores the log in his own.
The best is the enemy of the good.
To live a life is not the same (not as easy) as to go through a field.
Do not dig a hole for another one, you will fall into it yourself.
You can't spoil the porridge with butter.
You can't hide an awl in a bag.