We had to fatten some lambs indoors in 2007 - because of the FMD movement restrictions we couldn't sell them as stores.
Your problem areas are:
- feet
- ventilation / heat / moisture
To keep feet healthy, you have to keep the well-trodden areas as clean as you can. Plenty of straw. You can lime where they stand a lot too. Clean up spoiled hay, if you leave it it gets wrapped around their feet and makes it more likely they'll get infected.
If you do have some pasture you can let them onto when the weather is suitable, that will help - exercise is good for feet.
Depending on the breed, your shed and your weather, you could have very hot sheep. You could consider shearing them before housing - you would probably then not be letting them out for exercise unless it was very mild.
You could also have problems with pneumonia, etc, so you want
lots of ventilation, even to the extent of making the shed so cold you can't shear them as they'd be shivering.
Is there a reason you would prefer to house them rather than feeding hay or silage and concentrate in the field?