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.
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.