Can you get sheep hurdles? Pretty well all the sheep farmers I knew in Wales had a supply of hurdles that they could construct pens with wherever they wanted.
The cost would depend on how many sheep you have to enclose at one time. If you had access to the right sort of wood, I guess you could make your own, but the ones I'm familiar with were generally galvanised steel.
This video shows how they work, though this set up has a lamb feeder creep gate built in which wouldn't be necessary.
And here's another one showing how to make hurdles out of hazel, which might inspire you.
As for getting the sheep in there, I'm assuming without a dog, I would set it up a few days in advance, leaving one of the hurdles open as a 'gate'. Assuming your sheep know about being fed from a bucket, I'd then casually walk into the pen, tip some feed out on the floor, then just as casually walk away again. Some of them will figure out there is something good in there and even if they are nervous to start with, so long as one of them goes in they will all eventually get greedy and want some feed for themselves. The next day repeat, but linger a bit after you leave the pen to watch what happens. If it's all going well, linger closer the next day, ideally until all of them have gone in, then walk away. It's likely that by day four you can wait at the gate and just close it behind them. If they're not used to being penned, I'd just leave them in there for a few minutes then let them out again. By then you should have them pretty well trained.
The irony is, I used to keep sheep without a dog, and now I have a sheepdog but no sheep. But I still remember the fun of sheep training!
Good luck with it.