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
The beauty of a debt is its payment
Do not chop the branch you sit on
Your own shirt is closer to your body.
Trust but verify.
Man does not live thanks to bread alone.
Time for business, an hour for fun.
Get your sleigh ready in summer and your (horse-drawn) cart in winter.
A bad example is contagious.