I'm not sure this question falls into the purview of "ask historians" simply because this behavior probably predates history--and even humanity. We've seen plenty of clever non-human animals using things like slides--otters are famous for it--so it's not like "playing with gravity" is even an exclusively human behavior.

I'm not sure the mods will allow this comment, but I'll leave that to their good judgement.

In Plutarch's Life of Caius Marius he writes about when Marius fought the Cimbri in the north of Italy. In it he describes the Cimbri fighting naked and sliding down the snowy mountains on their shields. It's tough to tell though if this was just for fun or if they did this to intimidate their enemies.

Marius lived from 157-86 b.c. so some sort of sledding has been around since at least then, probably before.