Halter Training
I'm far more ignorant about halter training and animal shows than the average 4-H or FFA youth; even so, that shouldn't stop anyone from trying a few basics.
I've spent a lot of time with the family dog (Heidi) and I've found that patience and consistency went a long way toward making that dog think she was pleasing me by doing what I asked. I can't say that sheep think the same way as a dog but there are a couple similarities (See the video link at the bottom of the page).
Sheep, like dogs, will respond to a certain amount of negative feedback. Most people who've trained a dog know that a choke collar is used instead of a standard collar and leash because the dog doesn't associate the choking action with the owner who's standing 3-ft behind. If they're bad, you pull, they get choked, and if they heel, all seems right in the world. On top of that you add a negative or soothing tone depending on the situation, your voice or a pat on the chest, and they feel they've done something marvelous in your eyes -- the master.

I would NEVER recommend a choke collar for a sheep but a standard collar will work well since the lambs esophagus is much more tender than a dog's and therefore they seem to feel the pain much more intensely. Obviously then, the first thing you'll need is a standard dog collar (Not a choker) and leash for your lamb-in-training. The collar should be loose enough for you to stick 2 fingers in it when the collar is on and the leash should be about 4 feet long.
If you were trying to train an older ewe or ram I would be suggesting an actual
sheep halter which is a little smaller than a calf or horse halter or a
braided halter. It won't choke the sheep and they will respond just as well to tugging on their face by the halter. Being that a lamb is a lot smaller at 6-8 weeks, you'll either be making your own halter with a rope or simply try the dog collar until they get bigger since they are fairly inexpensive and it works well.

Once you've put the collar on the lamb you'll notice it hardly knows it's there, however, the leash will be an entirely different story. They'll pull, twist, jump, and finally lay down on you, panting as though they just passed through the Sahara. Truly pathetic and not at all fun at first, but be patient and don't give in.
Just as with horses, when they pull hard, so should you. And when they stop pulling, give them slack; right away. Working with them like this will train them to know that when they pull there is discomfort, and when they relax and calm down, life is good (See picture above).
It won't take very long (a week or so) for the lamb to realize that after the first jerk on the collar that it needs to calm down and stop tugging.
The next step is to start walking with the lamb inside a closed area and to start tying them to a post. Remember that the lamb will want to stay with the herd or other animals it sees rather than be with you. If you can keep the others out of sight then this part of the training will go much easier as you'll be able to manage what they are looking at and therefore think about. I have a separate paddock for catching my sheep that has 4-ft high cedar planks without gaps in the boards -- no one peaks through or over that fence so anything I want the lamb to see is completely controlled.
Keeping the lamb separate from the other sheep, walk it around. And as before, if it pulls, you pull; if it obeys, then give it slack -- be patient because they are only following to avoid pain and they would still rather be somewhere other than next to you being trained. If the lamb is reasonable and is responding well, grab a piece of cardboard or something flat and start to lay a little food out in front of them and within arms reach of you. Tie the lamb to a post while you do this and get them familiar with it. Poles don't give the same feedback that you would give so you might save this for when they're more comfortable being on the leash. While on the pole, keep them in arms reach; coax them into eating and to relax while you're beside them. In time, they'll start to see you as a food source rather than as an enemy or threat.
While willingly eating in front of you (at some point in the future), work with them to eat from your hand. This may take a while with some sheep but this again is something you'll need to exercise some patience with. Hunger will also work in your favor if you can catch them BEFORE the herd's normal feeding time. By showing the lamb that YOU are their food source you begin to instill in them a feeling that you are good and helpful, someone to be followed.
Feeding a lamb out of your hand will take time but once they begin you can start giving them treats that are a bit more tasty. Just as human children, lambs use a bit more energy and sweet tasting food is a real desire. Don't feed them refined sugar but a molasses sprayed or blended feed such as sweet feed, cracked oats, or alfalfa niblets all work well as encouragement; my older animals don't care, they'll take the same feed as a treat so long as it's free. As the lamb gets comfortable around you and comes close, give it a few bites so it realizes you have something special. In time, keeping the treats in the same spot/pocket will draw them to look for your hand and it moving to that pocket. They may eventually start to nuzzle the pocket or nibble on your clothes trying to taste where you put the treat. I've read that goats are smart enough so that if you move it around they'll search it out - which can be amusing,
Getting the lamb to associate the treat with you is a huge step. As you walk, give them treats for good behavior, for staying near you, for not bolting when new people are in the area or loud sounds.

When you stop, stop the lamb and give it a treat, just a small nibble. If you position the sheep always at your right side (or left) it will learn to be there for the treat, or, if you're training leads you, it will learn to feel your guiding hand on the leash/collar and react to the gentle tugging you give. The more you give them positive feedback, talking to them gently and in a comforting manner, then the more they will associate you as a herd leader and stick to your side looking for signals.
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The more you work on it, the more you'll accomplish. A lot of time and effort went into training the little lamb in this video. I've done a few of these exercises to train the family dog but never in my life thought a sheep was capable. My family and I all found this to be an amazing feat by this trainer.