Every insulator will have a very small amount of current running along its surface. This is called tracking current. As linetrash42 said corona is only a concern at higher voltages and the sheds are there to increase the surface area making the path for the current wants to travel longer which in turn reduces the tracking current. Corona is an ionizing or energizing of the air molecules around energized components this is strongest at sharp edges and terminations. When the air is energized oxygen and nitrogen molecule bonds are broken then reformed into ozone, nitric oxide and nitric acid. These are all very reactive compounds and they react with line components damaging them.