Kyoko had ordered the Sheep Pillow online. She received the gift on the mail a day before Valentine's Day.
Kyoko got the idea to give the sheep pillow as her gift to Ren when Ren borrowed her lap as her pillow, stating that he could not sleep without a pillow.
Ren then showcased the pillow in an interview on a magazine, stating that the pillow is one of the three things, among with a survival knife and a wrist watch, he could not survive without.
Also, Ren seem to use the Sheep Pillow quite often. He has used it while falling asleep in the Love Me Section locker room, where Kyoko saw him, took a photo of him falling asleep and made it as her phone wallpaper.