They will need hay, probably from around Christmas onwards depending on location, weather, how much grass you have, etc.
A small amount of hard feed will help them through their first winter and mean they will be fit to go sooner come spring. 1/4 to 1/2lb per head per day depending on breed / type. Make sure it's suitable for male sheep. Something like Carrs Champion Tup & Lamb. I have fed it mixed with soaked sugar beet but I haven't fed sugar beet on its own. It would probably be fine just to keep them ticking over, but others may know more.
You can feed whole fodder beet or turnips, if you can get them, instead of cake.