If you have a lawn you will have noticed that in the cold winter months it doesn't grow very much. We have the same thing with the grass the sheep eat so we have to feed them on something else over winter.
We grow areas of feed crops in arable fields for this purpose, usually stubble turnips. These have a large, energy-dense bulb with a leafy, protein-rich top which makes a great store of food over the winter for the sheep to graze on. Once the sheep have finished eating all the turnips, we cultivate the soil and plant a crop which we then harvest, usually spring barley for beer production.
The other option would be to house the sheep and feed them on a conserved feed like silage and bought-in feed. By grazing turnips, we can keep the sheep in a much more natural habitat outdoors. It also cheaper for us and improves the quality of the soil for the crops that follow the turnips.