What I do is have them cut the sheet into a couple of pieces that are bigger than what I plan to cut out of it. These can then be easily loaded in the back. You can even do this yourself with a portable circular saw these days if the yard charges and you're tight, or they simply won't agree to do it.
If you do need full sheets though, (sheetrock, etc.) it's better to borrow a friends pickup truck, or rent one for a few hours, or have them deliver the material.
I've done the on the roof trial with a couple of sheets of 4x8 ply and I'll never do it again, the edges get messed up from the ropes rubbing, and it's just too dangerous.
