Purchasing Wool Felt
You can buy wool felt anywhere from 100% wool to 30% wool. Do not buy the craft squares at the local department stores. The more wool that's in it, the thinner it will be. The mixed has a thicker feel to it. Remember you don't need to buy a lot because you don't need the extra fabric to turn under like in applique. However, do remember that wool shrinks a lot more than normal cotton.

Washing Wool Felt
When you buy your wool felt, even if it says it's felted, you will need to wash it and felt it some more. You can either wash your wool by hand or in the washing machine. Wash with a little laundry soap (dish soap if by hand) in cold water. Rinse until the water is clear. Throw the wool felt into a hot dryer. You need to shock the fibers so they will felt. When you take the wool out of dryer, pick off any fuzz. Your wool felt should have a little bit of texture to it.