I too am using wool batting for the first time, Quilters Dream Wool. Here's what I've learned so far:
1. I can baste using 505 spray just as I do for cotton
2. Quilting by machine seems to be just like quilting through cotton.
3. To maximize warmth I am using an open quilting pattern so the wool retains as much fluffiness as possible. Of course you must quilt as closely as the batting package requires.
4. When they say don't iron it, they mean it. I ironed a small test sandwich just to see what would happen. The batting flattened out to the width of a piece of card stock. I guess this means that when I attach the binding I won't be able to iron it to the back but will have to finger press.
The experiment I have not yet run is to see if I can steam off my chalk markings by holding the iron above the quilt without any pressing or if I will need to wait to wash them out.