I bought some wool thread sets from the quilt shop that gave the wool workshop. The shop winds bobbins with different colored thread and sells the bobbins for $1 each. Usually floss is used and I have lots of that left over from my cross stitch days. Look at this well known wool quilter's work:
http://suespargo.blogspot.com/
scroll down the site and see quilts made with wool and cotton.
Beautiful.