Apparently with just one veggie cake you can tame instant any level, passive tame, feed from your last slot. Bette get higher level and chop them with a good pick or dino. Keep something around, the amount of whool they give when they die is legendary
You find them (most often) up in the north biome, at the blue obelisk. As of now, they need to be born on a ceiling (One tile above where you want them), so they will not fall into the water under the map or other unaccessible places, warning, with this method they will still fall through the ceiling, but they will fall onto the foundation underneath, allowing you to claim them there. Another warning, The baby ovis needs to be claimed immediately, or else it will die of starvation, it will also have abnormally low weight, so be sure to feed it very often.