A wool hat alone may not be sufficient, if you are in very cold windy conditions. In the "old days" on NOLS winter courses we would sew a nylon outer onto the wool hat. This would cut the wind and shed snow.

You may want to check out fleece designed for wind - I cannot remember what it is called, wind-pro?? Check mountaineering stores.

In the winter I would not go without a balaclava in addition to a regular hat.

One thing really bad about acrylic, is that in cold dry conditions it is full of static electricity. I really hate this.