I took my 60D with a 70-300L to a rodeo (night, outdoors). It didn't get much of any keepers. Then I bought a 70-200 IS II 2.8. With the 60D, it worked splendid when I went back this past summer.
Cheaper alternative, maybe a 135 f2 on your 40D? I've never used that lens, but considered it instead of the heavy, spendy 70-200 (which I couldn't pass up last December when it went on sale for $2k). You need faster lenses for sports (you don't mention what lens you are using right now) to have a fast enough focus and handle the poor light.
If you get a shorter, faster lens, you can use the money you save for good seats at the rodeo