i've dyed lion brand wool more than a few times and i just used liquid food coloring. you do need to add vinegar with that.
here are some links for food coloring and koolaid dyeing
this has more than one method.
i usually only soak for 15 minutes and press out air bubbles in the yarn but soaking the wool longer might give you more solid coloring.
and jens is right.. it does kind of smell like a wet sheep
but it's not too bad
and there is also a whole section here that includes dyeing if you'd care to search around on that for even more info