My goats are next to my sheep (stock fencing), and even were to cattle this summer. No problems. Just make sure that the sheep respect the electric fence, are wormed and vaccinated. But I would also stress that you need to have a proper agreement in place.
Kids/lambs will sniff each other through the fence, it's quite funny when they try to work out what/who each other is!
My sheep lambed in the hayshed, which is in the goat field, and it was sectioned off with hurdles. One of my ewes was quite noisy when lambing, and the goats stood with their front legs up the hurdles to see the new arrival! Very cute!