I am in southern Ohio and used sand for the last two years. My ducks share their pen with my chickens. I refresh my sand in the spring and fall. It has a 3 inch base of small pebbles and then 3 inches of sand topping. I found that thickness of sand and gravel kept the run from being an ice slick.
I also remove their pond and use a heated water source that they can only place their head into during the winter. If it warms up, they get a pool outside the run or if it is cold for a long period they get a treat and get to use my bathtub
My coop/run did not smell all winter - I actually had no smell until last week. I think limiting the amount of water in the run is key, along with having the correct size for the number of birds. My coop and run share a wall with the master bedroom of my house so I know when it is stinky out there!