Quincy (Wensleydale) used to be like this.
Get him penned as tight as possible (with another sheep or two, not on his own) as quickly as possible, and if you have the hands to do it, station another human by the hurdles to block him if he still tries to jump.
A pair of hurdles, one tied one end in the corner, swing that across behind him and a pal, then overlap with the other hurdle and bring both hurdles in close to the sheep, so they're unable to move.
Do this every time they're in, especially when you don't need to do anything to him, so he learns (a) it's okay, nothing bad happens and (b) I can't escape anyway.
(By penned tight, I mean literally so there's not room for another sheep, there's barely even room for you to get in with them.)