Yes, right on your skin. I have a thin merino long sleeve base layer, like an undershirt. Then another regular wool sweater goes on top of that. I machine wash them cold once a week and hang to dry or low tumble dry for 10 minutes. They don't smell so you can easily get away with washing them once a week and cold wash with wool specific detergent is fine. If you want to prevent excessive stretching during wash (spin cycle in particular) put them in a net bag. No need to dry clean them. People wore wool for thousands of years before dry cleaning was invented I'm just not sure if sleeveless will work as well as long sleeve for winter.

Adam