post32, CP,
Yeah that would work but the only problem with sheep/lambs wool is the heat involved as they smoulder in one of these infernos so you may need space-age-heat shield blankets plus a source of regenerating oxygen/water as most deaths are caused by smoke inhalation.
Also, although it's a bit "out-there" the best insulator is the earth itself so think of a deep bunker in mother Earth.

Cheers.