Rebecca, that may have more to do with the differences between goat and sheep than anything, but I can't be certain of that. It seems like it wouldn't be difficult to make thick, partially felted batts to use as insulation, and then treat the batts with some sort of pest deterrant (borax, possibly more lanolin, possibly other things).
Edit: I am reading some posts about making natural wool insulation, and stumbled across
this one. Which basically details what's already been discussed here, sans using lanolin or felting. In retrospect, felting is a bad idea, lol. If I'd thought about it for more than a minute I would realize that.