Israel are His sheep. See Ezekiel 36.
Paul specifically says that we, the body of Christ, are NOT sheep.
Rom 8:36-37 (AKJV/PCE)
(8:36) As it is written, For thy sake we are killed all the day long; we are accounted as sheep for the slaughter. (8:37) Nay, in all these things we are more than conquerors through him that loved us.
Sheep are NOT conquerors.
Jesus taught the lost sheep how to come INSIDE HIM, a part of Him. That IS about being in Christ.
As for the Jews were always sheep, you are wrong:
Anyone can become a lamb. All can become sheep. You need to read how the Israelites are called heifers and God said they were NOT sheep. You should read how after they repent they will be forgiven and be like sheep.
In Hosea, the Israelites are like heifers. They are told to repent, and then they would be as lambs.
Hosea 4:16 The Israelites are stubborn, like a stubborn heifer. How then can the LORD pasture them like lambs in a meadow?
Hosea 14:2 Take words with you and return to the LORD. Say to him: "Forgive all our sins and receive us graciously, that we may offer the fruit of our lips.
Did you read that scripture? They come to God and ask for forgiveness, and they are forgiven. Now they are like lambs in a meadow.
We are even told unless we become like little children, we cannot enter the kingdom of heaven.
Hosea 4:16 The Israelites are stubborn, like a stubborn heifer. How then can the LORD pasture them like lambs in a meadow?
Maybe some disciplining can take care of that.
Anyone can become as a lamb.
All it takes is humbleness, and obedience.
Jeremiah 31:18
"I have surely heard Ephraim's moaning: 'You disciplined me like an unruly calf, and I have been disciplined. Restore me, and I will return, because you are the LORD my God.