I never got chigger bit when I lived in CA, and I doubt you have bugs living in your socks.

I think the wool is just irritating your skin. It could be that small fibers are working their way under your skin. Maybe use some fabric softener or hair conditioner on the wool. If that doesn't fix it, look for some wool socks that are softer.

If you are worried about bugs you can toss the socks in your dryer (while they are still dry) and tumble them on the highest heat for 30 minutes to kill the bugs. That's the recommended way to kill ticks and chiggers you drag in on your clothes here.