There's no reason he couldn't use a ironmind to store weight, but it wouldn't be a vast advantage, and he gets more out of using the speed in a steelmind directly.
Altering weight via feruchemy also seems to alter muscle mass by a relative amount. This is why a full feruchemist like Sazed can't leap tall buildings in a single bound just like a Mistborn would. So decreasing his weight might help speed him up a bit, but past a certain point would just make him floaty and uncoordinated. Sazed also isn't a very physically trained fellow - he has more reliance on his mental feruchemy and using tinminds to put much time into optimizing the weight storage.
Aside from Sazed however...
Other characters later in the series run a constant weight storage like you suggest, but mostly so there's a reserve of weight if they need to tap it. The most it does for their regular physical ability is make them a bit more light on their feet. More dramatic uses are possible, but the character that does so gets a lot of practice in it, for reasons that are even more spoilerish.