Years ago, because the English have small cocks, their wives would go to Wales for some big cock action. But in order to slip put of town they would have to dress up as sheep so the town guards wouldn't recongise them. Then dressed as sheep they would cross the border to Wales for some proper cock action. Hence the term 'sheep shagging'. But because the small cocks English got jealous they called the Welsh sheep shaggers, which is really an insult to themselves.
Engish Tracy: My husband has got such a tiny cock, I can never feel it.
English Sharon: My husbands cock is tiny too, lets go to Wales for some good hard cock.
English Tracy: But the town guard will spot us.
English Shatron: Not if we disguse ourselves as sheep, then those big cock Welshmen can do some 'sheep shagging' on us.