As you obviously realise, sheep worrying is a serious thing and could result in a farmer shooting your dog.
Don't beat yourself up about it, but just make sure that, if there is a chance of sheep being around, he is on the lead. Sometimes these setbacks happen and you just have to go back to managing his behaviour for the safety of everyone.
When you are near sheep, rather than saying no, try to distract him and reward him for ignoring the sheep and paying attention to you. I have alpacas and it took me a year to train Coco to leave them alone. I stopped allowing her in the field off lead, so she NEVER got the chance of chasing them as it can become self rewarding.
I walked her near them on lead, all the time getting her to focus on me and ignore them - I rewarded her all the time for this, gradually getting nearer to them and eventually off lead. It took a long time, but I needed her to be steady around them and now she doesn't bother them.
I still do not trust her totally around sheep - I have worked on this too and have often walked through a field with her off lead but with a treat in my hand to keep her paying attention to me. The other day though, she went to run after one - fortunately she came back when I called her, but it has taught me not to trust her off lead with them. I am sure you know that awful, heart in the mouth moment! To be honest, it is not worth the risk of your dog doing damage (or even just frightening) a sheep or the chance of him being shot, so just keep him on the lead. I would still reward him for ignoring them and focussing on you when they are near though so, eventually, he will find them less exciting than that bit of cocktail sausage in your hand
PLEASE DO NOT consider a shock collar - not sure exactly how you think this would help, but it could easily make his behaviour worse.
It is your responsibility to ensure that he does not get the opportunity to chase sheep and so, if you are not 100% confident that the area you are walking is free of sheep, that means on the lead.