From my childhood, I recall the sheep “leaving their tails behind them”. But I came across this version more recently and it works really nicely with scarves. Hide a scarf somewhere, behind your back for example. Then bring it out and wave it about when the sheep return “wagging their tails behind them”.
Little Bo Peep has lost her sheep,
And doesn’t know where to find them.
Leave them alone and they’ll come home,
Wagging their tails behind them.