Basically it's kinda like the felt you buy in craft stores except way way nicer. That's caca stuff.
What you do, is you take something knit or crocheted out of wool, make it a bit bigger and throw it in the washer with hot water and a bit of detergent. It will felt and get very nice and soft. Because it shrinks, you need to make it larger than usual. Then you put it in the dryer. I've been tempted to try that with mittens as I find when they're just knit, they're not very wam but felting them would make them more wind resistant and warmer.