My wife and I travel to Europe from the states once a year to meet a group of friends for a week of skiing in Austria (Kitzbuhel) or France (Avoriaz). We always travel with boots in carryon luggage and a rolling skibag with the skis and bulky clothing. While the skis are a bit of a hassle to lug around, especially when using public transport (the Paris Metro was particularly painful due to all the ups and downs for connecting lines, but the TGV to Geneva was fantastic), I feel that it's worth the effort.
It's less of an issue in Munich where most of local transportation is surface trains (S-bahn). We usually stay for 1-2 nights in Munich before taking the train to Austria. There are several hotels near the Munich Hauptbahnhof (main train station) so it's easy to get from the airport to the train station and drag the luggage to the hotel.
If you do decide to bring your skis and use a train to get to Austria, try to get a direct train as this will eliminate having to get your luggage off of one train (sometimes you only have a couple of minutes at a given stop) and haul it back on another train. Booking first class with reserved seats helps considerably with crowded trains, especially on a weekend going into the Alps.
If you want any more details or additional advice, let me know.