Sherrinford is a secret facility located in secured waters somewhere off the British Islands.
The maximum security prison facility code-named 'Sherrinford' is actually a Napoleonic fort located just offshore from the town of Tenby in Wales. The island itself becomes connected to Tenby itself only at low tide, making it an ideal defensive position for the area encompassing Milford Haven and what would become Pembroke Dock. The fort was constructed between 1867 and 1870 to house a coastal defence battery of nine guns and a garrison of one hundred men. The fort was used on and off as a manned military position during the First and Second World Wars, though before that the structure was bought in 1907 for private ownership. Between 1968 and 1979 the site played host to a zoo before the business relocated, and has since stood empty.The fort reopened to the public in May 2015 for tours, but closed again in August 2016, just after filming on The Final Problem wrapped.
Scenes on the fishing boat that Sherlock, John (and presumably Mycroft) conceal themselves on to approach the island were filmed safely moored in Cardiff Bay, on a tuna fishing boat named the Tunnara II. The small boat is a former lifeboat - of the Watson class.
Scenes of helicopter landings to access the Sherrinford facility were filmed at Southerndown Beach in Porthcawl - most recognisable as Bad Wolf Bay in several memorable episodes of David Tennant-era Doctor Who. The extensive interiors for the Sherrinford facility were designed and constructed by production designer Arwel Wyn Jones and his team on sound stages at Pinewood Studios Wales.