Have you tried Goo Gone? It might work. Just iron some old rags after you try it to get the chemical smell to go away.

I get the best results using a product called Hot Iron cleaner, they have it a JoAnns. It gets all kinds of "stuff" off the bottom of my iron.

use goo gone.

JoAnn's carries something called "Iron Off." I've used that for a few different messes on my iron. It worked really well. I've never used it with wool, but it's worth a shot!

i did something stupid , i was putting some of the strap[webbing type] on a tote , i had put some glue on the strap ends to stop fraying, and was doing a little pressing on the tote, and got the glue and strap[it melted] on my iron, and i had a piece of cardboard there,and quickly rubbed my iron on it, and everything came clean. it might help you.

I wrap a piece of parafin wax inside a flannel cloth and rub it over the bottom of the iron in the affected areas.

I was using my iron one day when I twisted my wrist while setting it down. I let go a bit too soon to relieve the pressure from my wrist and the iron tumbled down to the carpeting, melting the fibers onto the bottom of the hot iron. The only thing that took it off was something called "Iron-Off". It's sold at some Wal-Marts and just about every Joann's. With two little girls, I've had everything from that carpeting to plastic chip bags set too close to my iron and it's taken everything off.

This isn't about irons but I was reading about felting wool but then bought some instead. Not enough time this year!
Good luck with your iron!

Hancock Fabrics has some stuff that slightly thick, comes in a tube. Works great.

Dritz makes an iron cleaner. Comes in a tube like toothpaste. Squeeze out about an inch onto an old towel and wipe your hot iron over it. Then turn the towel to a clean spot and wipe the residue off until you can no longer see it. It will smoke but really cleans the bottom of your iron and makes it nice and slick. I get mine at JoAnn's when notions are on sale half price.