If the vet feels the swelling is so severe that it requires wrapping, wrap it according to the vet's instructions. My guess is that if it was needed, the vet would have told you so.
Wraps that are for swelling, generally are removed for part of each 24 hr period, kept off for a specified period of time during a specific part of the day (usually when the animal is moving around more, such as during the day), and then put on again (usually when the animal is moving around less, such as at night). If the routine is followed fewer problems result. (Wraps for injuries and wounds are generally changed frequently, but not left off for a period of each day, as they must keep the wound clean, but wraps for injuries are not applied the same way as wraps for swelling).
Some people tell you to never wrap anything. When the vet advises, when it's done properly for the condition the animal has(have the vet show you how), when the schedule is followed, when the right materials are used, wrapping can be beneficial to both comfort and faster healing. It can make the difference between success and failure in treating a problem.
Swelling of the sheath can be due to many things - heart disease, bug bites, spider bite, snake bite, bruising, or various (many) infectious diseases.
If the animal has a disease, you would expect to see swelling elsewhere as well - on the underside of the belly along the midline, chest, legs.
Older horses often develop a persistent firm swelling of the sheath, and it's possible it's just due to poorer circulation or ageing heart, circulatory system or less efficient lymphatic circulation. Exercise which helps 'stocking up' (swelling that pits on pressure) often won't improve this firmer sort of swelling.