Mostly. Same idea as storing in a cotton pillowcase. Desperate moths (and other textile-eating bugs, like carpet beetles) have been known to chew through both en route to wool, though they definitely prefer protein fibers if they can find them.

I have heard about wool needing to breathe, but I don't buy it, personally. Wool is dead; it doesn't need to breathe any more than any of your other non-wool clothes do. I wouldn't seal it damp in a plastic bag so it won't mildew or mold, or seal it and then expose it to vast temperature changes that might cause condensation on the inside of the bag, but really, it should be fine if it's just around the house.

I wouldn't worry about it too much. I have vast quantities of wool and other fiber around the house (spinning wool into yarn is one of my hobbies), and - knock on wood - I haven't had any problems either with bugs or wool getting damaged from being stored in sealed plastic.