I think sheep like to be sheared as much as male dogs like to be neutered. I'm not a "tree-hugger" or "Conservationist" I just thought of something i could compare this to. yes, i love all animals...especially if they fit on my dinner plate ;)
They probably LIKE it in hot months, to get some of that wool off of them. No, I don't think it hurts them, because it is like hair, and hair has no nerves. Probably doesn't feel any different than us getting a hair cut.
I had the misfortune to have some sheep here this year and having watched them getting sheared I would say they don't care much for the process. It's not painful or anything but they don't like being restrained. Once it's over, they don't seem to really care.