I tend to agree about wet wool not really helping retain warmth, unless you've got enough thick layers of it. Synthetic fleeces do that for me. My usual winter skiing layers are wool next to skin, and then fleece next to the wool (I really love the Arc'teryx Rho fleece layers).

The main reason I like wool even when wet is the tactile feel of it. I've often not noticed or perceived that my woollens are moist or damp, because they don't feel damp or clingy to me.