Sheep have a cuddly wool that protects them from the cold in winter. Sheep have a cuddly wool that protects them from the cold in winter. But why does wool actually stay so nice and warm? It is a very airy material that still manages to trap body heat. At the same time, it can absorb a lot of moisture, providing a pleasant, dry warmth. Fun fact Sheep's wool takes 6 to 12 months to fully regrow after shearing.