Yes, if you are sure they are sheep then we agree. And you can use the Shepherd's own words to prove our identity.

We are still trying to decide whether to cast our vote for your team or the Innocent this round. If the wolves suspect us they would likely use both the Thief's power and eat us to be sure. Or, if they fear you more, disable us from protecting you. Then your only chance would be the one in four charm the Innocent carries. Do you have an opinion of the best course of action?