They should come double tagged- if so then you don't need to do anything unless they lose a tag- then you apply new double RED tags with your flock number on (the double red shows the tag has been applied off the holding of birth). Record the change of tag in your flock book.
If they come single tagged (i.e. you've bought lambs intended for slaughter before 12mths of age but you've decided to keep them for breeding or pets), then you do the same as above with the red tags.