Go small on the bait when fishing for Sheepshead, they need to munch once or twice and then swallow. If the bait is to large they will only have part in their mouth, when you set the hook it just pulls the bait off the hook, you come up empty. Here are a couple options that work for me:
If I'm specifically targeting sheepshead I will use an Arkie jig head - 1/8th ounce unpainted. I use twenty pound test mono leader tied to my ten pound test line from the reel. Take a regular to small size shrimp - pinch the tail off - thread the shrimp on starting at the tail - you want the jig head at the tail, and the hook coming out under the shrimps belly. They hook barb end should be hidden in the legs. The Arkie jib has a gold hook that matches the shrimps leg color.
Many times I'm still targeting reds this time of year, my standard rig is ten pound test from the reel, twenty pound test mono leader about twenty-four inches in length, a #4 split shot eighteen inches from the hook on the leader, and a #4 MUTU Owner Circle hook. When I run into sheepies I don't want to take the time to re-rig, what I do is buy select shrimp for reds, and regular to small shrimp for the sheepshead. When I run into sheepshead I just use the smaller shrimp, run the hook through the head starting underneath and coming up through the top of the head. The hook point should be pointing the same direction as the barb on the shrimps head. This method works great fooling the sheepshead,the hook is buried in the head of the shrimp, just make sure the shrimp is small. You will be amazed at the size of fish you can catch on such a small bait.