It is true fleece and wool will provide some insulation when wet. However, unless you provide a vapor/wind barrier, you will still lose significant amounts of body heat. If at all possible, it would be beneficial to remove the wet clothing and wring out as much of the moisture as possible. After redonning the clothing, wrapping yourself or packaging the victim up in a wool blanket and then a plastic tarp/bag or survival blanket, should reduce heat loss via convection/evaporation. If available, heat packs can be added within the blanket arrangement. The heat packs will not generally be enough to reheat the body's core (which can be dangerous in the field), but will reduce heat loss.

Pete