I always used the blanket stitch on wool but after watching Anna Bates' (woolie mammoth) tutorials, I will be using the "whip stitch" instead ... at least for the smaller pieces and areas. She suggests doing that and saving the blanket stitch for the longer areas to be stitched where they can be seen. This makes sense to me and it would have been easier for me to make the Christmas ornaments I made a few years back. I do really like the way the blanket stitch looks though so I will only use the whip stitch on the very small pieces.
I know we "spoke" before and you watched Anna's videos that I recommended so I am guessing that is why you are asking this question. I am sure others will have an opinion about this. Maybe you can just experiment on some scrap wool and see what works for you.