Thanks everyone for your input. I really don't think my tension is that tight, it just seems that the wool yarn comes in 6 strands and although, I have split it into 3 strands as recommended by the shop keeper it seems to break anywhere along the line, if I pull to hard or the stitches are too tight.
The rolls just came in bundles on their own, $8.95 for 1/2lb or 227 grams. I'm guessing that perhaps I bought wool that is supposed to be used for spinning as opposed to knitting.
Has anyone tried making a felted cat bed? Any hints?