Baaaa.
It is the Beged that smells of sheep, not the tzitzes.
No one wears tzitzes. You obtain a beged (article of clothes) with at least 4 corners with intent to wear in a manner that one normally wears clothing and to derive the pleasure of wearing such beged. This creates the obligation of tzitzes (when worn normally and for pleasure) which are then attached to the beged.
As far as I a know, all tzitzes actually used nowadays are of wool.
When I got a new Talis, I remember it initially smelled of sheep.
New suits also have this smell.