I guessed as much! Alas, there are no wool shops in Oxford (this is why I'm always so keen to visit wool shops when I go to other towns!). There's a shop called Port Meadow Designs in Walton Street, which is in Jericho (about 15-20 minutes' walk from the city centre) which does sell wool, but it's quite small and the staff are rather odd and not exactly welcoming.