You can spend a little money on hooking up a second battery, or a lot.
The cheap solution is more or less what you're talking about. I'd run a #4 from the positive of the one battery to the other, obviously grounding both of them. Then connect your winch to either of them, and you're good. As long as you leave the engine running, you can run the winch.
The problem is if your engine won't start, you'll run the batteries down real quick and then you can't start the truck. In this case you use a battery isolator, to, duh, isolate the auxiliary battery from the starting one. Both batteries get charged when the engine is running (i.e. the alternator is putting out juice), and you can discharge the aux battery with a winch, lights, fridge, stereo, USB pole dancer, whatever ... and still start from the main battery.
Isolators (and related technologies) are a favorite topic here, do a search. Ryoken is a big fan of a fancy expensive thing; I'm a big fan of cheap solutions like solenoids or at most the diode isolators. Search on either of our usernames, you'll find a goldmine of threads.
-- A