I'm also a huge fan of wool - especially in more humid winter climates, like here in western Wisconsin.

As far as thicker wool sweaters, I tend to use them as a kind of mid-layer in colder weather (everyone is different, but somewhere around 20F for flat rides or 15F for hilly rides). I wear one over a base layer (usually a really thin merino layer). I've had wool get completely soaked, and I haven't died or lost any toes yet, so it seems to be working.

I bet they'd work as a single layer under a jacket in warmer winter weather as well.