You can build a 4x4 shelter for them using two pieces of plywood and six 2x4x8s. In my area, that would cost me about $30-$40. Or you can make it a 4x8 shelter using three pieces of plywood and seven 2x4x8s for $40-$50. Either size shelter would be big enough for two lambs.
Here's one I built for my ram...as you can see, it fits a 140 lb ram and two 50 lb lambs. It also fit the same ram and two 70 lb lambs. According to industry standards, though, it is really only big enough for one sheep or two lambs. However my sheep were fine in it.