You can actually SKI from Zermatt to Cervinia and the other way, so I suggest you check if you can rent SKIs at one end and return at the other end.
Another alternative is to rent skis, go one way and the next day rent a little sledge so you can ski back and carry the ski equipment to return it back to were you rented it.
From my memory it is easier to go from Zermatt to Cervinia than the other way in terms of the difficulty of the slopes.
See a map of the SKI slopes and lifts here: http://bergbahnen.zermatt.ch/e/skigebiet/
And best of all - have fun !
