If you're carrying this for warmth, I think even a cheap sleeping bag is probably your best bet. I bought a couple of cheap ($10 at the day after thanksgiving sale) rectangular sleeping bags, they work great and are warmer than any blanket. If you unzip them, you've basically got a large blanket for multiple people. While not as durable as the wool, I personally think they're a lot more versatile. The only problem is they're bulky, which is why I normally don't carry them, only if I'm going up to the mountains. If you keep them in those space saver vacuum bags, that can minimize the size a lot, but like you said you will lose some loft. However, it's not as bad as you think. I have some synthetic polyesther sleeping bags that are almost 20 years old, and while not as fluffy as a new one, they are still much warmer than a wool blanket.

I also have a couple of fleece blankets ($7 at the same sale) which are warmer and more comfortable than the wool, but still not nearly as warm as the sleeping bag. They dry much, much faster than wool, but are susceptible to melting, if that's a concern for you. I like the ones iwth the water resistant nylon backing, because you can use them as a poncho or temporariy rain cover, plus it adds a lot more wind resistance to the blanket. Fleece by itself is not very wind resistant, you will feel every breeze come right through it.

I also have the harbor freight wool blankets that some people have mentioned, they're mostly used for covering the carpet in my car or for extra padding if I'm moving stuff. I wouldn't really count on them to keep me warm or anything, they're just not thick enough, and they are really, really itchy. About the only advantage I can think for them is they're fire-resistant, and cheap. I dunno how warm they will be when wet, it might be better than a cotton blanket, but it won't be comfortable. I know there are better wool blankets out there, but for a lot more $$$, so takes away the cost advantage of blankets.

It seems like for your use, if the primary use is for insulation, sleeping bag is probalby the best choice, because that's what it was designed to do. I just don't see an advantage to wool blankets in this situation, unless you really do intend to use this around fires.