If you are showing breeds which have a good rise in the fleece, such as Shetlands, and Hebrideans, then you can shear them much later. It is easiest to use hand shears and to cut through the rise. This leaves a nice clean surface with a couple of inches of wool still on the animal. This way the animals don't need to suffer any cold shock. Usually people are showing only a couple of sheep, so the hand shearing is not too onerous. Check before you shear that the breed you intend to show is not supposed to be in full fleece. For example Hebridean ewes (and I think also Shetlands) at the The Royal Highland Show must be in full fleece. This is because in the Scottish climate, shearing a ewe with lambs then exposing her to months of icy weather is a welfare issue. On the other hand, sometimes by the time the show comes around, the poor animals are sweltering in a Spring heatwave.