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
One in the field is not a warrior.
The best is the enemy of the good.
A titmouse in hands is better than a crane in the sky.
There is no bad withouth good.
The beauty of a debt is its payment
All is well that ends well.
Living with wolves means to howl like a wolf.
You can't spoil the porridge with butter.