We had no natural shelter here but plenty of driving rain and deep snow, so we put up small shelters in each paddock. With the heavy rainstorms we have been having this season the shelters have seen a fair bit of use, but they don't stay in them once the rain stops, and if it's persistent they go out to graze as usual. Mainly they are used at lambing time when some of the ewes choose to lamb under cover, whereas others lamb outside.
There is a problem with disease as stevehants says, so when you build your shelter, factor in good drainage, have it facing away from the prevailing wind to stop rain getting in, and change the straw as you would in a barn. We have found it's best to have the entrance facing down hill which reduces the tendency for the area outside the entrance to get boggy. You could sprinkle lime on too. We dumped some left over bottoming outside one shelter and it works very well - the sheep were not too keen until it compacted down a bit but it has solved the mud problem.
Buffy - there are a couple of our shelters on our website. Basically they are four stobs or strainers, sarking for the sides with gaps between to keep the air moving, and a well pinned down tin roof (it really is windy here). The upmarket model has guttering to direct water away from the entrance, and this is collected in a bucket as a drinker. We also have a roundy tin shelter which was originally for pigs, but inherited by the sheep and currently occupied largely by hens during the day, who love to scratch in the straw.