A heavy woolen greatcoat or blanket has been used as a makeshift bedroll for a very long time. It works, I've tried it on more than a few occasions myself, but I wouldn't go so far as to say it's superior in any way to a good sleeping bag.

Back when my dad was in the army, they were still issued woolen blankets and long winter coats in the cold months. They must have been among the last generations before sleeping bags were issued. From what I've heard - and it's one of the topics more frequently brought up when dad remembers his army days - the greatcoat was hated by most. It was warm all right, but hard to keep clean, irritating to the naked skin and tended to absorb rain water very quickly. Once proper sleeping bags were introduced they were universally welcomed as a superior solution.

This mirrors my own experience as well. Wool is not really water repellent, certainly not in a major downpour. It absorbs water readily, which makes a wet woolen coat even heavier and uncomfortable to wear. While wool still retains a lot of its insulation qualities when wet, it takes a long time to dry. Which is oftentimes quite impractical in the field.

For all its good properties wool is no magic material. A traditional woolen bedroll works reasonably well in a cold dry climate. In a cold wet environment though, it's problematic at best. Back in the day when no better alternative was available, people would make do what they had - they would wrap themselves up in a thick greatcoat or blanket and try to spend the night the best they could. But don't delude yourself for a minute that it was particularly cosy or warm.

These days, a modern sleeping bag provides more comfort and protection from the elements, in a smaller and lighter package. So I don't really see much point in going backwards, unless one is a dedicated traditionalist for tradition's sake.