Lots of sheep in Cumbria, way too many for the buildings available... however, lots you can do to help.
Much overwintering grazing land will have a lot of rushes (called "reshes" or "theaves" up there). The sheep use the reshes as shelter, and it's usually drier underfoot in the centre of plants so they will lie there. I'm always telling newbies to
not try to eradicate
all the rushes from their pasture!!
As others have mentioned, they will use the lee of walls, and under hedges as shelter. Lots of "folds" and "bields" in Cumbria - circular or square structures, or crosses, which mean there is shelter from every direction (except vertical - which happens rarely as it's so windy up there!
). If you don't have any, you can make them using pallets and bales. Just take care with - keep an eye on - strings / baler twine, as they will eat any hay or straw, and the pallets will move around, so loops will appear and can snare the sheep.
Best possible solution is to have some woodland you can give them access to, so they can go in and out at will.
You can also use ark type movable shelters made from corrugated roofing and wooden cross-members. They need to be heavy enough to stay put in wind, of course. Move them around if they get too muddy or filthy inside. You can use reshes cut and baled last summer as bedding in the arks.