The little mini side quest involving the Sheep can be initiated once you reach Aggra’s Pasture. Check out the link below for more information on how to get there:

Approach the herd of Sheep and examine the large one to kick off a short cutscene. At the end of the cutscene you will receive a tuft of Fluffy Wool. From now on you can approach the other Sheep throughout Gran Pulse and, depending on the weather, you will receive a different kind of wool:

Weather	Wool Type
Sunny	Rough Wool
Windy/Fog	Scraggly Wool
Rainy/Thunder	Fluffy Wool
Fog	Thick Wool

You will only be able to grab wool from a fully grown sheep, which may not always appear, but you can leave/re-enter the area to reset them and try again. There are four locations where they can be found:

• On one of the islands near the pond in the southwest
• On top of a hill near the pond
• In Aggra’s Trough
• In Haerii Archaeopolis