Generally, if a wool thing is itchy just where it touches your skin, the reason is that the wool was poorly processed (for example, with lye--yuck!) or was of bad quality to start with. If you get red and blotchy on a part of your body that is not actually in contact with the wool, then that is an allergic reaction and you can't develop a resistance. Maybe silk is a better fiber for you.

I'm allergic to mohair and angora, but not wool. I actually start sneezing in a room with an angora sweater in it.