In this paper, we study the Picard group of the moduli space of semistable sheaves on a smooth quadric surface. We polarize the surface by an ample divisor close to the anticanonical class. We focus especially on moduli spaces of sheaves of small discriminant, where we observe new and interesting behavior. Our method relies on constructing certain resolutions for semistable sheaves and applying techniques of geometric invariant theory to the resulting families of sheaves.