When my son, (now 34) was a baby, he LOVED to be cocooned. I think we called it 'swaddled" back then.
This looks like a good idea to me. I would have used one on him, cuz the wrapping I did with a blanket sometimes came undone, or too loose.
I wouldn't use wool until sure that baby isn't allergic to it. Besides, you'd probably be washing it frequently, maybe daily......so I'd make a few, and in something washable.