We've got a wool duvet at home and it's ace. Despite being really thin, I'm never too cold in the winter or too hot in the summer.
Would it make sense to use wool in sleeping bags?
Suppose they might not dry very quickly?
Its called a blanket isn't it?
I'm sure you could stitch a couple of blankets together with a zip round the edge.
I'm pretty sure the Spams made some mummy type ones in WW2, but I would have thought that a blanket was more versatile (you can sit on it, under it, or wrap it round you like a coat to keep warm, seems to have been good enough for centuries worth of travellers and soldiers before we got modern materials)
might well feel a bit scratchy against bare skin though (memories of KF shirts and puttees there :D)
IIRC The original spec for the old '58 pattern British army sleeping bag was to deliver an equivalent level of warmth to two woollen blankets.
Wool was used as a fill in the past but there are just better and cheaper alternatives these days.
Down and synthetic fills are better insulators for their weight than wool and compress much better, and synthetic fills can work out much cheaper.
Wool will keep you warm when damp, but I reckon a blanket wrapped around a sleeping bag when really cold is better.