To change the words, this means 'you'd be somewhere else, with sheldon, the man with the amazing penis' 'off with' - gone off / away with Sheldon the wonder schlong - this constructs an imaginary character called 'the wonder schlong'. It does this because it is so similar to circus names like 'Peter the amazing strongman' or Robert the magnificent knife thrower' etc. So his meaning is that Sally is only there with Harry, because Sally and Sheldon are no longer a couple. He suggests this because he believes Sally would be with Sheldon, if she had a choice. The reason he gives for this is mocking, comedic, not serious.

Off with means that Sally would be with Sheldon, wherever he has gone. Schlong is slang for penis, so "Sheldon the Wonder Schlong" means something like "Sheldon, the man with the wonderful penis."