The sled is one of the two newly-added vehicles in the new update, "Faster!". It allows the player to zoom across the winter biome faster than ever before, and is useful for escaping some mobs. It can only be used in the winter biome. It is also helpful if you are trying to get a dragon heart, as you can go to and from the dragon cave much quicker. It is crafted with wood, thread, winter fur, and penguin feathers.
Controlling the sled is the same as controlling the player.