Why wool?

Wool can let out and absorb moist to cool down or warm up the body. You get warm quickly, but not overheated, because of the unique breathing quality. Clothes made from wool has millions of small airpockets that holds your bodyheat close to your body. Thicker wool will have more air pockets than thin wool, and will therefor be warmer. Think of a thermos or a thermo cup. It has two metal wall with air in between. It is not the metal that keeps the coffee warm, it's the insulating layer of air in between. Two layers of metal on top of each other would not at all do the same job. But the most important reason to wear wool is that it keeps you warm even if you get wet. When you are playing and sitting in the snow for hours, or if it's raining, kids will become wet. When you get wet, you get cold. Wool absorbs 35% of it's own weight before it feels wet, and it also generates heat when it absorbs water.
When it gets cold, my kids usually have a thin layer of wool closest to the body, under the normal clothes. They wear this both inside the house and outside. When they go outside, we usually take off the cotton pants and shirt, and put on more wool and/or a suit, depending on the weather. This is the thin wool underwear that is used under the clothes. Pictures from pierre robert.

And this is my little one in wool underwear.