If you are looking for filler wool pieces or fabric, you might try purchasing blankets from yard sales or resale shops. I buy blankets at the Goodwill or Salvation Army stores for $4-$10 dollars. This gives you large pieces that can be used and is much less expensive than purchasing wool by the yard. Also might be a good practice piece for you. I serge the edges on some projects with the thinking that it might be a little safety net for fraying. Some people put stabilizer on the pieces as has been suggested.
Here is a tutorial I have used with the wool in my collection that might help with ideas. The wool does stretch and I believe cutting larger than needed is a great idea.
http://www.purlbee.com/the-purl-bee/...k-quillow.html
Good Luck it is really a wonderful idea!
Lisa