What exactly do you mean by "wool?"
Wool is a fiber. Wool can be woven many different ways, from thin and super-matte, super-smooth tropical weight suitings to a medum-weight suit worsted to a thick and fuzzy coat-weight melton.
Fleece isn't so much soft (it's so not smooth) as it is thickly-piled. It has its own texture. Most wool fabrics I tend to use, particularly for winter cloaks, are coating or worsted-weight, and are actually rather smooth compared to a thick, knit pile like fleece.
It would help to know what kind of look you're going for, whether you have a picture reference or an idea of what type of cloak you want. Cloaks also can be many different things - satin-lined lightweight formal cloaks for dresswear or fancy superheros, or rugged outerwear cloaks, or thick coat-weight cloaks with a lining to actually keep a human being warm outdoors in the winter, or anything in between. What kind of fabric you want depends on what purpose the cloak is for, and whether you're trying to match a particular character's cloak. If the character is wearing a rugged adventurer's outer cloak, you would choose very differently than trying to make a taffeta sparkly cloak for a Sailor Moon villain.
Founder and Vice-President, Madison Area Costuming Society, a chapter of the International Costumer's Guild
Strange Land Costuming - www.strangelandcostumes.com