Is it just sheep's wool that's a problem, Kat? We have some wonderful alpaca blankets here in Maine:
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"Woven Alpaca Blankets are a medium weight blanket with incredible warmth. We have our prized alpaca blanket on our bed at the farm and it's all we need to survive the cold Maine winter. We can attest to alpaca being 4-5 times warmer than sheep's wool it really is!" http://www.alpacavillage.com/store/products.php