I don't use wool batting, so don't know how to protect it from bugs. But I do buy my batting by the roll and this is how I store and use it, made from the rolling part of an old chair (picked one up for 5.00 at a garage sale) -
Storing Batting on Wheels
This isn't really necessary, but I wanted to protect the bottom of the batting as well from dust etc. so I had my husband cut out a thin circle piece of plywood (can use something like it as well) and I put it on the chair feet pole first then put my batting on it so the bottom of the batting is against the wood and not open to the floor on that end.