I carry a horse-blanket-style wool blanket with me... in the trunk of my car. It makes sense there. I suspect that a synthetic-fill sleeping bag that is lower-rated than 20 would make more sense if you plan to hike in a very low temp season of the year.

Remember, the main function of insulation is to create dead air space near your body that your body heat can linger within. The colder it is, the deeper a layer of dead air you need surrounding you to stay warm. A wool blanket may not be the best way to enlarge that space.

Also, you will benefit a lot from good R-values under you, to insulate you from the ground. A dense closed cell foam pad is the most efficient way to keep the ground (or snow) from sucking heat out of you from below.

However, if a wool blanket is what you think you can afford and you are willing to carry it, then it may make sense for you.