Since wool has a tendency to be heavy quilts out of it are usually made in the same manner as a denim quilt---in other words, very simple blocks such as squares or rectangles sewn together. They can be quilted but are usually tied. Since wool is very warm you won't need much batting so if you use any at all, it should be very thin. Wool is usually more loosely woven than cotton so you might want to take a bit larger seam--up to 1/2" and make sure that your stitch is just a little smaller than usual. A lot of times she used an old sheet blanket or flannel sheet for the batting.
At least that's what Mom always did. She made them bed size though. Old drafty farm house in central Illinois almost required them to survive. LOL