I think you will find that the wet does have an affect on the skin, as we know from spending too long in the bath, our fingers get wrinkly etc but it is the water temperature that makes the different! Haven't you notices how a large joint of lamb shrinks in the oven!!
Sheep produce lanolin, a waxy substance which coats the wool and helps to waterproof it. The lanolin is removed before the wool is made into yarn of felt.