Do you have to use sock yarn? Nah! You can make it out of bulky yarn on size 15 needles. It may not be as comfortable as fingering weight on size 1 or 2 needles, but you can make them out of any size yarn and needles. I do find that the finer my thread the nicer they wear. I probably wouldn't use over a sport weight for socks because after that the socks just feel "pebbley" on my feet. Don't be intimidated by those tiny needles!
You don't have to use wool. However, I would try to find something that does have a high natural fiber content. We are talking about something you are going to wear on your feet with shoes (usually) You want something that will wick away moisture and breathe. Stinky feet usually come from feet that can't breathe. When my dh was in the Navy he had to wear the "GI Boots" which just don't breathe. His feet always smelled SO bad. Now that he has been out of the military and able to wear other shoes than those hard waterproof (and air proof) boots, his feet don't stink (well, nearly as bad - they don't clear the room anymore!
As far as yardage, that depends on the pattern. Most sock yarns are sold in either 215-220 yard or 410-440 yard skeins or hanks. It takes about 400 yards of fingering weight yarn to make your "average" sock. More if you want taller socks or have larger feet. I have petite feet so always have extra left over. Going to a worsted weight you would need less.
I second using Silver's tutorial to learn the basics and then you won't be as intimidated at making socks using finer yarn. You will
all the lovely sock yarns that are out there!