Found one in the snow binome near 17,31. Best of luck. It was near the water in the bit of the shore just before the sea level terrain ends. But the sheep was alone there at sea level. Hope this helps.
If you wanna get wool without having to get ovis by just geting vegie cake make a cage with dino gate then get a argy to transport it into the cage then just simply shear it with scissors. Up if this is useful