Here, let me google that for you! http://www.lmgtfy.com/?q=how+to+make+wool+rope
Make yearn then weave 3 or more strands together to make rope. Joe
Do you need this to be strong or just thick?If just thick then twist you strands of wool and then allow them to twist together - repeat as often as you need.Look up rope making.
Double it up, twist it up, repeat until the cord is as thick as you need.