I've seen my sheep walking round with snow/ice on their backs which stays there until the temp warms up and melts it along with the snow on the ground. This should tell you everything you need to know about the insulating properties of wool, awesome stuff! Wherever they have laid in the field are melted spots because there is less wool on their bellies but it doesn't put them off sitting in snow - they have a perfectly adequate field shelter but, by choice, only go in there to eat hay, get out of a blizzard or drop lambs. As long as the lambs get a good feed they will stay warm but if you have shelter for them it is better to use it providing it is clean, well aired and dry.