They are probably just using scaleless or polymer coated, loose sheep's wool fibers of certain lengths and fineness. They have to use the former (scaleless or polymer coated), otherwise the fibers would felt and matt. No need to do much else, as sheeps wool has a lot of crimp and springiness. You can get more warmth for less weight than in traditionally made wool garments because you're not twisting the fibers together. With sheeps wool, for durability, you have to twist the fibers together to gain tensile strength so that when the garment gets pulled or what not, it doesn't come apart. So you increase mass per less volume verse loose fill.
When the fibers are sandwiched between other layers taking the brunt of the tensile forces, you don't need to twist them for tensile strength and durability in that area.
However, you won't be able to compress it near as much as higher quality goose down, nor is it likely to be as durable as down after repeated compression.
I would like to see a garment made with Angora Rabbit fur fiber fill, as it will be warmer for less weight than a sheep's wool, due to the finer fibers that are also hollow. At some point in the near future, i'm going to buy some polypropylene microfibers, and send out some samples to get tested, comparing the insulation properties of Angora, to Angora/PP microfiber blend, to 550 goose or duck down.