I recently brought a 4x8 sheet home in my civic. It wasn't easy but I was able to roll it up enough to get it into the passenger seat. I couldn't see very well but I did manage to get it home undamaged.
I did it by bending it into an arch and stuffing in as far as I could into the hatch - this was incredibly awkward and I got exhaust fumes in the car and it was raining *hard*. There was a small "kink" in part of it, but that did not affect the pieces I made.
A pickup truck or van is really the only viable option if you want it to remain in a whole sheet.