These are the signs I can think of - can anyone else think of more? :- They may well look unthrifty - not growing so well so sort of scrawny and not as plump and healthy as the rest of the flock. Often they will be scouring ie with diarrhoea, giving them dirty backsides, but there can be other causes for scouring too. If you have a cat you will know what it looks like with worms - coat stark and dry, cat thinner than usual - adapt that to your sheep and that gives an idea. However, sheep with worms will not necessarily look like that so getting a worm count is always a good idea, especially the first time around. If you have not had sheep on your ground before, for several years, and you had your stock wormed before they arrived, it is unlikely that they will have a large worm burden, but if there were sheep on your land before you put your new flock on it then there could well be plenty of resident worms lurking.
Hamish, it could be that your vet knows what was on it before and is giving his advice for that reason, or that he wants you to start with a clean slate ie worming the whole lot first time around. If that is so then it is a good idea to worm the lot as he advises, then start the new regime of worm counts and only worming those which need it after that.