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Heat oven to 160C/140C fan/gas 3. Finely chop the rosemary, then mix with the garlic, capers, anchovies, olive oil and zest and juice of 1 lemon, reserving the used lemon halves. Make 3-4 slashes across the top of the shoulder, then rub the rosemary mixture all over the lamb.
Scatter the onion into the base of a large roasting tin, cut the remaining lemon in half, squeeze the juices into the tin, and place all the used lemon halves in the tin with the onions. Place the lamb on top and roast for 1 hr. Pour in the wine and roast for a further 3 hrs until the meat is really tender. Leave to rest for 15 mins then serve, pulled into chunks rather than carved, with any pan juices.