Hi Alison,
There may be a variety of reasons why he can't be found. I will list all that I can think of just now...
The IGI is not as complete as the OPRs, so you may not find him on that. As I mentioned earlier, the birth may not have been registered, in which case he woudn't appear. I would not take as gospel the place of birth on a census, as that may be incorrect. I have had quite a few that have been inaccurate. If that is the case, you may have to start looking in neighbouring parishes and counties.
Another reason he might not be registered in the OPRs is that his family may not have been Church of Scotland, at which point you have to look at other church records.
It is also possible that he was registered under his mother's name, or his named was spelled wrongly or mistranscribed. There is even the possibility that the date of birth is incorrect.
So where to go from here...
I have had a quick search in the OPR registers for scotland and can find no birth of a Phillip Sharp in the whole of Scotland between 1830 and 1840. I also searched for any births at all with the surname sharp in Jedburgh, and nothing came back. I also didn't see any marriage for Jean Turnbull to anyone called Sharp.
Do you have a marriage certificate for him? This may state on it what church the marriage took place in, which might help establish if he was other than Church of Scotland.
Also, have you tracked him through the later census records? This might give a different location for place of birth or work out to a different birth date.
I am sorry that I am asking more questions than giving answers - but your Philip Sharp is starting to look quite elusive!
Cheers,
Clare