There is NOTHING wrong with wool. I love my big LL Bean wool sweater and it's the primary ingredient in my ski outfit (I don't hike in it to minimize, uh, "smell"). I wear a wool hat when wind isn't a factor, and wool blend socks.
Okay, it's true that if it gets really wet, it's going to be heavy and it's going to lose some of it's thermal properties, but compared to cotton it's still leaps and bounds ahead. Keep it dry, keep the wind out, and enjoy your wool.
Also, as for cheap, you can get a down jacket from the LL Bean outlet for something like $40. Way too warm to hike in, but stuffs down tiny into your pack for hanging out on a summit, or as emergency gear. I always have such a thing (sometimes called a down sweater) in my pack in the winter.
Keep an eye on the Steap and Cheap deals that we have
here as well.
Sure, I'd recommend a poly or synthetic bottom layer if you can get one. They really help wick the moisture away from your skin which makes you feel even warmer. They also keep the itchy aspect of the wool to a minimum.
And of course some kind of shell to put over the whoel outfit to keep it dry and especially when up high to keep the wind out, but otherwise wool isn't a bad bet at all.