Definitely make a good size swatch and see if you like it and you can see how it feels. If you need to do this I think you'd have to do squares. Felting an entire afghan would probably leave folds and ridges and I don't know if it would fit anyway.
Just curious why you wanted a felted one? Do you live in the arctic?
Here's a pattern with squares that you could get an idea how to sew them together, etc.