QuiltE...I do it on my design wall because then I can use safety pins for anchoring. The sheet is to protect the design wall. Wool probably would not be ideal for a baby quilt since it would need frequent washings and the wool shrinks and felts if it is tumbled and dried frequently. Ask me how I know! My DD gave me a washable wool quilt and I didn't know I shouldn't tumble dry them. It's now very felted, much smaller but still a very warm blanket.
Anael...what a testimony to the twins that the nurse was surprised they were still here! Happy 7 day!!!
OK...I had one of my quilts done with as wool batting and it does give a different look and I'm surprised by how quickly the bed warms up at night....our bedroom is cold and the sheets are colder.
QNSue...Sharon Schamburger has videos on YouTube demonstrating the method you described.