Not sure about the train question but depending on the resorts you are going to, Interlaken might be a better place to set up shop.  I have seen some really good reviewed hostels for cheap and supposedly they are very close to the area resorts, some offering shuttles and whatnot

For the most part, you can’t check your luggage on a European train and I don’t see anything on the Swiss rail site about special luggage services or issues with skis or boards: http://www.sbb.ch/en…

There are luggage racks overhead and sometimes at the end of the car.  Trains usually only stop for one to two minutes (although a major city like Zurich will probably rate 4 minutes), so you have to be able to load all your gear quickly.  I would invest in whatever straps and carrying gizmos would allow you to have all your gear on you and still have one free hand.  I’d also look at a cheap cable lock to secure anything you might have to stow at the end of the car instead of over your seat — you don’t need absolute security, you just need to slow somebody who’s trying to grab and run at a very short rail stop.