Yes, it does. Wool attracts water. Wring it, bash it - there's still plenty of water in it. Similar treatment to a fleece or most other sythetic fabrics will give you a semi-dry result.

Wool IS heavier than, say fleece. Wet or dry. I'd say how much more weight you add for a wet piece of material really depends on what kind of garment you're talking about. I can wring my wool socks or long johns pretty much to a semi-halfway dry state where the weight difference really isn't what I call significant. But a big bulky wool sweater is close to impossible to wring out properly.