sheep don't climb like goats do, at least ours don't. don't know about lambs, we haven't had our first lambs yet, just got the sheep this spring.
you just have to not let the sheep eat the goat feed cause of the copper. copper is bad for sheep.
Lambs will jump and climb! We tented a cattle panel, and by the end of the summer the lambs had practically collapsed it...they love to play king of the mountain on dirt hills...they will climb over and through a pile of logs, on big rocks...if the pasture is boring...the lambs are bored. The more you give them to entertain them, the more you will find them entertaining!
Our ewes will use a log to do "prenatal yoga" by placing their front feet on the log and stretching
My little flock has a large log in thier pen...from a mulberry tree that we had to cut down. They LOVE to climb on it. I also left a bale of straw in thier pen...and they run and jump on it. Its fun to watch them play king of the mountain!