I haven't actually tried a sheepskin myself, between my chunky Fell and my chunky self, we don't need a lot of extra padding, lol. Certainly not while we are doing very little ridden work anyway, that may change if I get fit enough to start doing long rides.
Yes, as I understand it, for horse comfort, the pad should be wool (or fur, for reindeer hide) side down, with the fibres running in the same direction as the horse's coat. Those who want the warm, fluffy side for themselves I guess put a gel pad or other numnah or something else under the leather, or use a large skin / hide doubled over, best for both! One woman cut a large reindeer hide into a numnah and a large saddle cloth. In the cloth she cut and reinforced slits for the D rings to poke through at the front, and she folds the cloth back over the saddle, which is enough for her to sit on most of the time, she says. When it's really cold (or on her skinny high-withered TB type), puts the smaller numnah fur side up on top of the larger piece fur side down.