Where do you intend on riding? What type of things are you doing? Just sledding or sled skiing?
What kind of sled did you buy?
Lots of factors to consider, and after doing it pretty heavily the last 10 years I might be able to point you in the right direction.
I used to use a full face helmet, but it was a PITA when we were riding tandem or snowboarding. I use a Burton helmet that isn't CSA, but it's better than nothing. Plenty of pros and cons on this, but I'm aware of the risks and prefer it to a full face.
Be prepared to get stuck. A lot. This is where friends come in, because there's nothing worse than postholing around your sled solo.
Get to know basic trail etiquette as well. Don't be that guy who is a total d*ckwad in the staging area and on the trail. Plenty of info on the web.
Yes, get a tow rope. You will use it at some point. Same with GOOD radios. They come in handy when you're lost, or need a beer.
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