Usual practise is to do as MF describes, then some time after the lambs have stopped screaming - which usually takes a couple of days - move them onto a fog / clean ground, if you have some.
If you want to worm them, worm them the day before moving, or as you move them, depending on your views on the likelihood of their having any wormer-resistant worms on board. (In which case put them back where they were for a day or two before moving them onto clean ground.)
If you want to give them something, give them a good chelated mineral drench as you move them onto better ground. Or, mark and drench half of them, and see if there's any difference in performance between them and the undrenched, so you'll know for another year.