+1 Very good question.
Who are the sheep?
Matthew 10:27 - My sheep hear my voice, and I know them, and they follow me
So the sheep are those who hear the voice of Jesus and follow him. So "sheep" cannot refer to those who have not yet come to God. Also, when Jesus said that he came "to seek and to save the lost", he, in all likelihood, was referring to the lost sheep of the house of Israel.
"I was sent only to the lost sheep of the house of Israel." (Matthew 15:24)
The chief tax collector, was himself a Jew and every Jew was part of the house of Israel. He was "lost" in the sense that he was a sinner. So Jesus' statement doesn't mean those people who have not yet come to God.
Will all the lost sheep be saved?
Yes, if we understand "sheep" correctly. Now, I mentioned that the sheep are those who hear the voice of Jesus and follow him. Now, in the original Greek, the words used in that quote are in the present tense. This means that the statement could be better understood as follows-
My sheep continue to hear my voice, I continue to know them, and they continue to follow me
So then, the sheep are those who continue to follow Jesus throughout their life. There are others, who after getting "saved" (i.e. freed from sins, because salvation = freedom from sins (Matthew 1:21) ), suffer a shipwreck in their faith (1 Tim 1:19) and no longer follow Christ. There are still others, who "endure for a while; then, when tribulation or persecution arises on account of the word, immediately they fall away" (Mark 4:17). These are not the ones who continue to follow Jesus and therefore, they would not be regarded as his sheep.
So note that while a sheep is someone who gets salvation from sins, not everyone who experiences salvation from sins is a sheep! We shall know only at the end of our lives whether we have been sheep or goats (Matthew 25:32). Till then, we can hope that we shall continue to follow him. His grace is always available to us.
Hope this helps!