I have a pet Shetland castrated boy called Bertie. He lives with the big goats, a small pony, and the llama. He was not a cade lamb, just a very friendly one. People come to the field for a cuddle with him, and he wags his tail, and loves human company. Only thing is, if he gets out of the field, he wanders off. Can always find him - give him a shout, and he bleats. Will walk on a collar and lead with no bother too.
Just a word of warning about the collar. Not a good idea for sheep, they can soon catch it in fencing etc. and hang themselves. Don't want that to happen to your lovely Pepe.
If Pepe is in with the other sheep, perhaps he could be wormed when the others are done? Otherwise, it would mean you buying wormer, and a big bottle is not economical for one sheep!! I have goats a lot of goats too, so a big bottle of wormer is fine for me.
Would be nice to see a photo of Pepe if you can manage it.