I haven't done it, but it should work on wool. A polyester might not be able to take enough heat, but wool can take the heat needed to make Misty Fuse adhere. I would not trust it as a permanent adhesive, however. I would want to stitch through the wool, either by hand or machine.
Edit: Here's a link to a website that says it fuses beautifully to wool:
http://www.quiltingdaily.com/blogs/q...mistyfuse.aspx
And here's a link that describes the amount of adhesion on wool:
http://www.amazon.com/does-this-wool...3MZ44NVGXZD/1/