You can get entire male llamas cheap. We had one and he was incredibly protective towards the sheep. So much so that he used to get upset when we took the fat lambs out of the field to market. He used to cry when the trailer of lambs left the field.
However, I also have a female mule and she is better as she doesn't try and stop me getting near the sheep as the lama did, and is very maternal towards the lambs. Neither she (nor any of my female donkeys) has ever attempted to chase the sheep, and she is quite capable of stamping on a strange dog.
I have had my sheep chased by a male mule and by my jack donkey, so assume this is more a problem with the males.