I was once told (by a vet) that "you know you need to clean their sheath when you're pickin out their back feet and can't stand the smell". Most horses rarely need this done, but if it smells bad and you see lot's of gunk when they drop go for it if you want. I like to use gloves because it's hard to wash the oily smegma off your hands and they smell forever if you don't. I also like rolled cotton and really warm water. Mares can get a smegma type build up between their udders too, a couple times a year I get the chunks off my mare, she seems itchy when I do it and maybe even enjoys it? I don't but, it's part of grooming.