Judging by the intelligence of my sheep, I wouldn't tether sheep. I could see them tangling themselves in it. When we want to put our sheep out in the field we keep them in electric netting with a solar powered charger. However, if the sheep are used to being in a halter tethering them could work fine. Although if there are two of them, would they share a tether?...would they get tangled in each others lines? I would definitely keep an eye on them if they were tethered.
Sheep are a great idea to mow your garden and to never mow your lawn again!