In olden times a person found guilty of sheep-stealing was sentenced to death because stealing a lamb was as great a crime as stealing a sheep and the penalty was the same, the thief might just as well steal the larger animal and so have more meat for himself and his family. The modern meaning of the proverb is similar to In for a penny, in for a pound.
‘Dad said I was to be home from the dance by eleven o’clock, but I enjoyed myself so much that it was midnight before I realized it, so I though I might as well be hanged for a sheep as a lamb and stopped on till the end.’