I haven't spun much yarn at all, so I don't really know the answer to the question... but if I were to decide I wanted to sell yarn I spun, I would go talk to the lady at my lys, and ask 1. if she thought people would buy my yarn (depending on how much I could supply, whether it was colored and so on) and 2. if she would be willing to help me market/sell my yarn, either by selling it in the lys or by just letting me advertise there. I recommend talking to your lys once you've got some experience spinning and have something sellable. Perhaps go in on a day when the store is somewhat busier, and take in some of your yarn - fellow knitters would tell you how much they would be willing to pay for it.
If I might ask, what breed of sheep is the wool from? Do you know? Personally, I'm in love with spinning shetland, so if you ever get the chance, try it. That reminds me, I need to take a picture of that yarn...
I'm not an experienced knitter but I would like to address the question about dying that you asked in your first post. I like naturally colored wool. I think it is lovely. On the other hand, dyed wool is lovely too, and you can get such a variety of colors. I recommend trying a bit of each, and seeing what you prefer.
Make sure you post pics of your first yarn.