• A feeding trough ( rank 1 taming )
  
• Food (Grass / Berries for sheep)
  
• A bow ( rank 2 ranged crafting )
  
• Stone hook arrow ( rank 2 ranged crafting )

Find a sheep ( :) )

Fire your hook arrow at the sheep and then when it hits you should see a blue line between you and the sheep, left click anywhere to anchor the arrow and then chase the sheep, the anchor may break, be ready to shoot another hook arrow, anchor it and set chase, after a couple of chases the sheep should become exhausted and fall over...

Place the trough next to the sheep and fill it with your chosen food, grass or berries I prefare.

If you look at the sheep you will see 3 bars, taming, wildness and constitution. If the constitution bar gets low simply fire another hook arrow and anchor it to the ground, this will fill that bar back to 100% and allow you to finish taming.

You can take it back to your farm and put grass in its inventory, this will allow you to produce fur from the sheep.