Being a sheep isn't so baaad. You get to hop around all day eating grass and shrubbery with all your friends and help people fall asleep. Sure every once in a while you wander off or get attacked by wolves but the shepherds will always be there to take care of you and make sure you don't get into too much trouble. Did we mention that you're also one of the most adorable and cuddlable (Yes, that's a word) animals in the entire kingdom?
So why not dress up as one of them? If you live somewhere cold then you would be extra warm in a wool costume while your friends shiver throughout the night. You'll also be able to count on yourself if you are awake at night and need to get up in the morning. There's really no downside. Just make sure you complete the costume with a sweet nose!