Micro-fleece is good for underwear. I gave up on wool long johns quite a while ago. Long underwear made out of cotton was a nonstarter even when I was a kid.
Fleece washes clean, dries fast and is warm.
Some of the polartech fleeces are almost as warm when damp as wool is.
I like Stanfield's brand, but they are a bit expensive.

In cold weather you still want a windproof outer layer with any kind of fleece under clothing.