Well, I don't know the exact heat-retention figures and percentages, but I can relate this story: I was at a Spring-time reenactment event when a late-day cold front came through with powerful rainstorms, and a drop in temps that resulted in a low in the upper 30's that night. All my stuff (camp gear and clothing) was entirely soaked!. But, I wrapped up nekkid in my thoroughly wet, 100% wool plaid, and slept warm and comfortable all the night through....
Finally, wool won't melt into a bubbling black slag that sticks to your flesh like polypro will. Something to think about if campfires are involved!