It has been recently claimed that the confined structure of the debris from the Sagittarius dwarf implies that the dark matter halo of our Galaxy should be nearly spherical, in strong contrast with predictions from cold dark matter simulations, where dark haloes are found to have typical density axis ratios of 0.6-0.8. In this paper, numerical simulations are used to show that the Sagittarius streams discovered thus far are too young dynamically to be sensitive to the shape of the dark halo of the Milky Way. The data presently available are entirely consistent with a Galactic dark matter halo that could be either oblate or prolate, with minor-to-major density axis ratios as low as 0.6 within the region probed by the orbit of the Sagittarius...