You have to clean raw wool in hot water because the grease is actually a wax, which needs to be melted to be washed out. Hence the hot water. Since you're just removing oil, you can do that in cold or warm water which is less likely to felt the wool.
I'd just soak them in the sink in some warm water and dish soap. Do not agitate, just let them soak for a while. Then gently rinse in the same temperature. Repeat if necessary, then squeeze them, and hang to dry.
And a little bit of oil in the wool isn't going to harm it, so if you can't get it all out and squeaky clean, don't panic.