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
You see your friends in the times of trouble.
Do not spit in the well - you will need it when thirsty
Forewarned is forearmed.
The best is the enemy of the good.
Not everything that glitters is gold.
Eggs don't teach the chicken.
Put your trust in God, but don't make mistakes yourself
Being a guest is good, but being at home is better.