Lose the sled and you quickly lose your mind. Almost anything that can happen on the trail is better than seeing the sphincters of your dogs under happily wagging tails disappear in the distance and with an empty sled behind them.
I've got a piece of rope fastened into a loop on the handle of both my sleds. I twist one hand into the loop and that way, if I fall off, I'm still connected to the darn thing.
An even safter method is to connect the coward's loop to the gang line instead of the sled. In some orally transmitted mushing horror stories the sled falls apart while the dogs keep on running.