EDIT: Are you sure there it's all wool man? Lots of stuff can look like wool, and I have assumed lots of things to be wool in the past, but it's really synthetic. Did you check the label? I have some nice big thick jumpers and stuff which aren't wool. Here's a photo from a few years ago, where I am wearing a nice warm motherfuckin jumper of some kind, but I still have it, and it's definitely not wool
I don't buy wool. The primary problem that I have with wool is that you have to keep the animals in captivity, which is bogus. Some farms will be better than others, but really, the animals are not there for their own good, they are being exploited. Those particular animals can not be released into the wild because they are domesticated/slaves, and they have been specially bred to create more wool, which in the wild would be inconvenient for them. However, those animals should not exist in the first place, and the farms should not exist.
The actual process of getting the wool can be uncomfortable and painful, but if it's done right, it won't cause pain because there are no nerves in the wool. However, if someone grabbed you and restrained you and shaved your head whenever they felt like it, that's still bogus right? It's none of their business to interfere with animals, in my opinion.
Wool is more expensive than the equiv man-made materials. If for some reason shops in your area don't sell any warm clothing unless its animal based, perhaps you could wear more layers of thin man-made clothing to compensate. Like wear a vest + tshirt + long-sleeve T + shirt? You'd be warm then.