So long as the sheep have other sheep, they'll hang out in the same pen. They wont typically be herdies with the goats like they do with other sheep though. They need other sheep. A lone sheep amongst goats thinks he's the only sheep in the world and he's the low guy in the herd. If you're going for milk you'd either need a pair or to borrow a ram anyways.
My mini goats sleep separately from my sheepers even though they share a pen. The big mama goat is in another pen, I don't necessarily trust her not to get bossy with the sheepers or the mini girls. They DO like to mess with them just for the fun of it. They like to threaten them with a rear up and turn away before actually making contact, or to make them run just to chase them.
If there is a disagreement, the sheep will usually try to run away or go elsewhere.
Ram sheep take a bit more socializing than even a buck goat. It's more about repetition with the sheep. The goats when they see a reward don't have as much flock instinct in the way of coming up to you and trying to figure out how to get it. Very different personalities.
http://www.sheep101.info/201/handling.html
This site has some good suggestions on handling and basic what they will do when you do XYZ and how to use that. Where to stand, where to grab and why.
A simple way to catch a sheep is to have someone stand at a corner of the pen with a panel or gate, standing up, have the other person herd the sheep into the pen and the person with the panel brings it across to make a triangle cornering the sheep behind the panel where you can then grab it.