I don't alter my underwear for winter, but I do switch out my summer pajama bottoms for winter ones - flannel - and put a sweatshirt over my night shirt.
I suppose it all depends if you can tolerate wool against your skin. I can't as it makes me itchy and uncomfortable . I wouldn't like to be a sheep !
I think you could if you under shirt had long sleeves then no wool would be in contact with your skin . I am really a cotton person but do have wool blend jackets but again no contact with the skin