Take highway 14-16-20 north out of Cody toward Yellowstone National Park. Once you enter the National Forest, past Wapiti you will begin to see the big horn sheep during the winter months.
Dress warm and prepare of wind. In the winter there can be a lot of snow, so gators may be necessary.
The big horn sheep are down from the high country during the winter months. They tend to congregate and are more easily photographed at this time. You can see rams butting heads for dominance on many occastions.