Are wet dreams sinful? Do they make me unclean? Do I have to put on new bed sheets afterward?
All males have to ejaculate periodically because we constantly manufacture semen. The body has limited capacity to store semen and besides it has limited shelf life. Ejaculations get rid of the of the older semen to make room for newer batches.
When you are not married, there are two ways to ejaculate semen -- wet dreams and masturbation. Neither one of these are sinful by itself. Masturbation can be used sinfully by looking at pornography to get yourself sexually excited. Wet dreams are an instinctive reaction when your seminal vesicles get full. Basically you masturbate in your sleep. Since this is the way God made men, it is not a sin.
In the Old Testament there were numerous things that were called unclean, among them was semen. It doesn't mean semen was sinful -- things can't be sinful. Nor does it mean a man is sinful when he ejaculates, just as a woman doesn't sin when she has her monthly blood flow, which is also unclean. See Uncleanness. Physical uncleanness in no longer a part of the law. When you do ejaculate at night, you should clean up after yourself, which would include washing your sheets or your shorts.