As for treating the wood, yes, goats are known to gnaw on wood of all sorts, but I don't think sheep are so much... Goats browse (woody stuff) and sheep graze (grassy stuff), although as we all know, there are always exceptions. What I would consider doing instead of chemical treatments of any kind would be to buy some boiled linseed oil (or similar) and give a couple of good coats/wipe downs with that. Obviously the wood will need to be dry first. Maybe do the new one you've almost completed then put it out and bring the 1st, wet one in to dry for a bit. Will aid in water proofing and still be natural should the sheep decide they need a little wood in their diets...