Hi shearling - you can certainly get the skin back for tanning. Arrange with the slaughterhouse in advance so you can collect your skins as soon as the sheep have been slaughtered. You need to get salt on them within 2 hours of death, sooner if possible, or the wool begins to 'slip' ie fall out. Some slaughterhouses will dunk your skin in brine for you so you don't have to do it at home. Once it's fully salted you can either send it off to be tanned, or you can do it at home.
For the head - it would be worth speaking to the vet at the slaughterhouse, again in advance, to see if there is a way by which you could get back the heads. You might have to register with someone, or have your facilities inspected, but it should be possible somehow to take one home. Once you've found out how to do it, do please let me know so I can do the same thing
