I've ran winter tyres on specific wheels on my last three cars. On my current A4 I have Conti TS830P in 16"
I have always bought a 2nd hand OEM set that are in reasonable condition, they will get covered in road salt, mud and brake dust in no time anyway in the winter. Smaller sizes are better in the snow.
Pros: you protect your summer rims, and get a chance to clean them properly once a year, you can rotate your wheels round each season to extend tyre life
Cons: need somewhere to store, yes they are quite heavy and cumbersome to change over.