Lisa - I think you might as well give in and get yourself some sheep and/or alpacas! That way you can spin your own wool.Then again, what would Ruby do to the sheep.....
I haven't tried wool tights but have switched from bike tights to wearing my bib shorts under non-chamois tights. It's a lot warmer, particularly if I'm wearing my smartwool snowboarding socks. Add knee covers and you've got two layers from waist to ankle. The Sheila Moon wool knee covers are toasty....