its actually really easy. you CAN haul full sheets IN your explorer. i do it all the time with my 2 dr. you'll have extra room to make it easier.
basically, you let the seats down (duh), then put something in the back that will keep the wood up an angle so it won't slide out the back. you could use a number of things for this. i personally made something specific to this use. its a 2x4 triangle kind of frame that is about 36" wide. its roughly 12" tall which gives the wood plenty of slant so it won't slide back. make sure whatever it is you use won't tip or slide. then just get some rope or ratchet straps and tie one off for just in case. take it easy on the drive home and you won't have any problems. i've loaded as many as 10 3/4" sheets of ply in mine without a problem. you'll get funny looks when they help you load it, but so what. they all know me at the depot around here now though. unloading this is not easy without a helper though.
not as easy as a pickup truck or a trailer, but its MUCH cheaper.