It's a good idea. The vet is probably the person to speak to, but as said, to do one officially, it will be expensive.
If you only have a small number of sheep, you should be able to do your own really.
The things to look at are -
Hep P
Toxo Vac
Enzo Vac
Worming
Fluke
Crovect / Clic
Those should pretty much be your routine meds.