My thoughts aren't worth much because I'm new to wool too, but I think a glue stick would be difficult on smallish pieces because it would pull the wool fibers (if that makes sense). I have used a dab of applique glue and it held it fine. I think Elmer's glue would work as well. I too use very small applique pins to hold small bits down until I can get started stitching them.
CKCowl - your quilt is stunning! Is the background wool too?
Suzy