There are 5 sheep to collect throughout your journey; however, you can't start collecting them until you meet Alice on Mount Toroyama and begin her story. You will unlock your first 2 sheep by following Alice's first quest "One Sheep Two Sheep" to get her to join your ship. To get sheep to follow you, you'll need some food to feed them and you should create Sheep Coral's to house the sheep. But the Sheep Coral is not required and it costs more materials each time you build one.
Timestamps:
0:00 Sheep #1 & #2 (Mount Toroyama & Hummingberg)
3:49 Sheep #3 (Gurenu Fields)
4:35 Sheep #4 (Nordweiler)
5:05 Sheep #5 (Sandwich Walk)