Hi Nuha H.,
You could generate a scheme to transplant sheep across states for crossing their lines, but that might arouse suspicion that you were making a joke (the original version has mynahs, staid lions, and immortal porpoises). If you pull up a map of bighorn sheep distribution, you will see that the distribution is incredibly fragmented. It's impossible to generate significant diversity of genetic mixing in situ, within a finite budget. Plus which, I imagine that the sheep have family + herd structures, so you couldn't just transport individuals and expect them to survive. And as for a capture and captive breeding program, yes you could do that, but the offspring would be hopelessly non-experienced in their native habitat, hence non-releasable. MAYBE a capture, artificial insemination and release to original location, program?
-- Cheers, -- Mr. d.