I docked my Roughs, the length to their hocks when they were lambs. This gave them the warmth of a tail in winter, but not the filthy wool that attracts flies, as they can hold that length of tail up and out of the way when necessary. I would always do it, but not too short. To be honest, beyond the first 'oww, what have you done to my tail', it doesn't seem to bother them.