You can get great deals on Yamaha's oil or the oil change kits at the Snow Shows or Heydays if you want to run the Yamaha oil. Yamaha sled oil comes in either a Syn blend (0W-30) or full Syn (0W-40). There are a few guys on here running Mobil 1 European blend because of the additive. I have been just shopping around and try to buy a case of Yamaha oil which I can usually find that works out to like $6 a quart.
I was using the K&N oil filter on my Phazer as the hex on the can makes it a lot easier to replace by just removing the air box. Since it still is some work just removing the air box on a Phazer to get to the oil filter, I was replacing the oil filter every two seasons. Yamaha recommends the filter be replaced every 12,000 miles which is a bunch so even with replacing the filter every 2 seasons I was no where close to that mileage.
As for the oil change, yes, you also need to drain engine oil from the bottom of the crankcase. However, you only pour new oil into the oil tank.