Wool comes in many weights , textures, weaves. You can ( piece) with felted wools very successfully and achieve wonderful results! ( think boiled wool jackets)
The fine, lighter weight wools when felted still have nice edges that do not fray. I stead of creating* regular* seams where you create bulk you over lap the pieces. { if piecing 2 squares you place one on your table, right side up, place second one- right side up next to the first, over lap one side on top of other with 1/2" overlap. Pin in place, stitch in place. I've done this with double seams * stitch close to edge of top piece, flip over & stitch close to edge on that top piece* or you can use a decorative stitch down the center, or blanket stitch the top edge.... Sky is the limit on choices. Wool is great to work with for applique and piecing!