Wool helps regulate body temperature because it is an absorbent fiber.
When the air is cool and damp, wool absorbs moisture and keeps a layer of dry, insulating air next to the skin. These softer yarns are not twisted tightly, so more fiber ends touch the skin. Also, the points of the structural scales of the fiber itself can reach the skin. This is particularly true of the coarser wools. The combination of finer fibers and tighter spinning puts fewer fiber scale ends next to the skin.