It's a little detail I've intentionally not included in the strip. It's a whole story we've only had hints of up to now. Sometimes, the best stories are the ones that take a long time to tell.
So let the guessing begin! Is it "Sheldon McGarry," "Sheldon Montelban," "Sheldon Montescue"? Perhaps even "Sheldon M. Dinkle"?
Coincidentally, it might also be fun to note that Gramp and Sheldon don't share the same last name. Sheldon is Gramp's grandson via his daughter. A fact I think was hinted at in this strip (fourth panel).