"I said it before the game started, this is not a neutral crowd," he said. "The fans are going to be in here knocking and rocking and they proved it."
Darian Durant threw three touchdown passes as Saskatchewan won its fourth Grey Cup and first since 2007. Geroy Simon caught two of the TD tosses.
Saskatchewan's Chris Getzlaf was chosen as the game's top Canadian. His brother, NHL star Ryan, is captain of the Anaheim Ducks.
Quarterback Henry Burris, who rallied Hamilton from a 24-10 deficit to beat Toronto 36-24 in the East final, ran for an 18-yard TD that helped the Ticats pull within 31-16. Sheets ran 5 yards for a score with just over five minutes remaining to keep Saskatchewan in control.
"Everything, the pass, the run, protection was great, the defense was great," Sheets said. "Special teams was great. It was just our night."
Hamilton was trying to win the CFL title for the first time since 1999, but quickly fell behind
Sheets and Jock Sanders ran for TDs before Durant, a former North Carolina standout, hit Simon on a 42-yard scoring strike with 1:46 left in the second quarter. Saskatchewan set a Grey Cup record for most first-half points despite three fumbles by Durant.
Actor Tom Hanks and comedian Martin Short were in the crowd on a chilly day with brisk winds.
It was a disappointing end for Hamilton. Burris, Andy Fantuz and coach Kent Austin were all former Riders looking to lead Hamilton to its first Grey Cup win since 1999.
"We didn't make enough plays, period," Austin said. "We played a better football team today. They were just better than we were. They were more physical, they were stronger. We didn't make near as many plays as we could have, missed too many throws, dropped too many balls on offence which killed a lot of our drives. They converted a lot of second downs, especially in the first half. We just dug too deep of a hole."