Green’s Dictionary of Slang

a sheepskin coat or jacket.

1998		K. Sampson Awaydays 3: One or two of the older lads have still got Bee-Gee centre-parts and sheepies.
2001		K. Sampson Outlaws (ms.) 92: He used to look like Bob Carolgees, years ago when he had a bad muzzy and a sheepie.