I have a friend who worked a lot of folk style wool applique. Mostly she did wall hangings and more art work, but she did do bed sized projects as well. Typically she preferred to have something for her quilting stitches to bite into and show off her applique. She typically felted/washed her wool -- the tightness of the weave can lead to additional questions about the choice of an inner layer.
Depending on what you want to do with the quilting, flannel is often a good thin layer. You might also look at the silk or wool batts.
On the other side of things, I've used old green army blankets as the batting layer and find it very nice to work with. Again, a nice bite and drape but not too much weight or fluff.