A person with our breed of sheep who said they had no trouble leaving the tails on- so we tried it with our first lamb... disaster. (it was true hers were not docked, but I think she may have selected for sheep that stand differently when they eliminate, so as to keep their tails cleaner... only thing we could think of). Anyway, I tried cleaning our girl EVERY DAY but she still got so much accumulated poop/urine that it caused her skin to burn and slough off under the tail. We banded it and kept an eye on it for infection (didnt happen, but we caught things early and were very dilligent about watching and keeping it clean; I cant recall if we gave her anti-B's just in case or if we just had it on hand in case we saw trouble starting).
Best to dock when young, when you do ear tags, wether the boys, and all that. But if need be, you can dock older lambs or adult sheep, as in our case. It took a little longer for it to fall off, but other than that, no difference.
WE do all our lambs now. We dock them so there are a couple inches worth of tail- this helps protect sensitive areas on the girls, and to spred the poop/fertiliser. Also, if you do it too close to the body, you could injure muscles around the anus.