We should have a good sheephead bite going on in March. You could find these at Ft Pickens Pier or, the Jetties at Ft Pickens and Ft Mcree. I am no sheephead expert by far but typcially you use a small hook with live shrimp or fiddler crabs. Both of the bait and tackle stores (Gulf Breeze Bait and Tackle and Hot Spots Bait and Tackle) in Gulf Breeze could help you out with the right rigs and they are on teh way to the fishing grounds. We typically still have a good redfish bite as well during this time which can be caught in the same area.
There have been some reports lately about sheephead in the inshore reports area of this forum. These are also good areas to get infromation on the fishery. Hope this helps you point in the right direction.