If you plan to wash it, then typically the answer is yes. There are wool fabrics that are "washable". They have a tighter weave or something that allows them to hold up to gentle washing on an occasional basis. If the bolt doesn't indicate that, you could check with the manufacturer.
If you only plan to dry clean and/or spot clean your finished quilt, you're probably fine without felting it. Just make sure to set your iron for wool (ask me how I know).
As a matter of personal taste, I probably wouldn't use unfelted wool for raw edge applique. It doesn't lay as flat as cotton or create the dramatic raised edge of felted wool (at least in my experience). It's too bad because I have plenty of wool fabric with which to work. You might want to try a small scrap as a test piece to be sure it looks the way you want it to look before investing lots of time making the project. If you do decide to felt it yourself, you might check with your sewing machine dealer. I know my Bernina has a foot/plate I can purchase so I can felt on my sewing machine rather than by hand. It's every bit as time consuming, but 100% easier on my hands (though if I ever decide to do more than a little practice, I would invest in Batt Scooters or something to
really make sure my fingers are
far, far, far away from the multiple needles. Nothing's scarier than a bunch of needles moving up and down right next to your fingers ... except a bunch of needles moving up & down very quickly next to your fingers.
