How to protect my sheep away from wolves in a sheep pen in minecraft?

Make fences, surround your sheep, and place a "wool carpet" on top of one.

Just put your sheep in a room with cobblestone and kill dem wolves be like "yo don't comE IN MAH HOOSE AGAIN DON't you GO LUKING 4 ME SHEEP TEY NOT URS TEY MINE BISH"

Do a double fence, or, if you want to be able to walk around your sheep pen, build a second fence a block away from the first fence. That's what I do for my sheep.