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This is a fairly common preaching story. The premise is that when a lamb goes astray, a shepherd would seek out the lamb and then supposedly break its leg. The purpose of breaking the leg was so that the shepherd would tend the lamb back to health, and as he tended to the lamb it would become bonded to him and never stray again. Preachers then usually connect this to God permitting bad things to happen to us so that we might turn to him for help and become more closely bonded to him.
The reality is that no evidence exists that such a practice occurred among shepherds, and there is no evidence that such a strategy would even produce the desired result. Sheep are known for their excellent memory, it is quite possible the lamb would remember who inflicted its broken leg and would be perpetually afraid of the shepherd. Another problem with this “method” is that it leaves the lamb completely helpless without the shepherd. Should the shepherd need to quickly move the flock, he would have to abandon the helpless lamb to tend to his other sheep, leaving the lamb a “sitting duck.”
What shepherds have been known to use is what’s called a “leg brake.” Note that is brake as in the brakes on a car, not break as in break a leg. It is essentially a slightly burdensome weight that is attached to the leg of a sheep who likes to wander. This leg brake prevents the sheep from wandering too far before the shepherd notices. As the sheep remains near the shepherd, it learns to trust him, and within a fairly short period of time the leg brake is removed.