I'm not impressed with straw bale structures - whatever you put on as a roof will blow away. Why not just bite the bullet and make a field shelter? For just a few sheep, four corner stobs with sarking for the sides and roof, tin on top of the roof sarking, one side open away from the prevailing wind. You could use planks recycled from pallets, but sarking is cheap. We have one of these little shelters (one not so little) in each of our paddocks.
If you go to our website
www.scothebs.co.uk , on the 'lambing' page there are a couple of the shelters visible. I think they look quite smart
The big one was a bit of a mistake - long story - but we are going to make a loft in the apex of the roof so we can store a little hay up there (if it ever stops raining long enough to make any).