I have copied this which I wrote for goosepimple a while back on setting up a hurdle pen: <<We took some Hebs and Soays over to Tarbert castle a few years ago to help eat down the rampant vegetation there. The terrain is impossible to drive over so they had to have a way to catch them. They set up a pen open on one side and put the food inside - gradually the sheep got used to eating inside the pen. Then they got them used to people being present when they were eating inside the pen. Then they slammed the gate shut After a week or two they forget the betrayal and you can catch them again. If your Soays are coming up to you goosepimple to be fed, just set up a pen of four 6' hurdles and reverse into it when you are feeding them. It will take a couple of weeks, but eventually you will get so that you or someone else outside can shut the gate on them. Some of the adults might jump out initially, but you will have the lambs (you might have to block off the bottom of the hurdles so the lambs don't get under - we use stobs) Also tie all the hurdles together with rope or twine as the weight of a lot of sheep can push a hurdle pen over. It's all a case of outwitting the sheep, using their own psychology against them so you understand why they react as they do>>
I set up my hurdle pen at the edge of the field, not in the middle and we have our sheep trained so that we drive them into the pen using electric sheep fencing (not connected up obviously, but set up temporarily each time we need to funnel them into the pen. Sheep which don't know the system are a disaster initially, but they do get the hang of it. Buy the taller hurdles as they will try to jump out. We can fit a couple of dozen ewes plus lambs into our pens, made with about 7 x 6' hurdles, with two standing open at one end, so when they are in you can reach to both hurdles and bring them together. If your sheep are not used to having concentrate it will take a while to get this system to work, as you will need to get them used to the feed first, then start feeding them in a pen, then get to the point where they are comfortable in it with you there, so you can sneakily shut the gates on them. All this has to be done without shouting and jumping up and down waving your arms, which just causes alarm.
If you use the sheep netting method, once it's all set up, just try to walk them calmly down the funnel. Sheep like to see an escape route, so if your hurdles have bars rather than solid sides, they are happier to go in as they think they can get right through. Try to have enough people to help so that the sheep can't run back past you - once they've seen they can do that they will keep trying. If they turn around to face you, stop driving them until they look away again - if they are eyeing you up then they are thinking of bolting over your head or straight through you.