You can't just grab it off a sheep and stick it in a pot of dye. Here's the first step. Loosely tie strands of yarn wool together with a cotton string.
Hand wash the bundle in mild soap and warm water to remove chemicals, oil or dirt.
Wring out and roll the wool in a towel to remove excess moisture. Slowly heat the bath. Be careful not to allow it to reach the boiling point. Lower heat and let it simmer gently, stirring gently occasionally, for about an hour. Turn off the heat and allow the pot to cool down.