Wool is definitely a very important element of winter dress - at least when it comes to fishing. Equally important is layering.
One very important factor that a lot of people seem to overlook is the base layer under the wool. Wool itself is quite itchy and you almost always want to wear something underneath. This accomplishes a couple of different things.
For starters, it stops the itchiness. If you are warm but itching constantly, you are going to be just as miserable as you would be if you were cold.
Second, it provides a layer that allows your body to breath a bit and for air to circulate.
The trick to this under layer is once again material. Do not use cotton as an under layer. You will be freezing the second you sweat. Instead, opt for a layer like underarmor that doesn't really absorb moisture so readily. Personally, the lighter this layer can be, the better. For instance, my base layer under my wool socks is a simple pair of nylon dress socks. They are extremely thin but stop the itch. With exception of the most extreme conditions, I only need this layer and 1 pair of wool socks to keep my feet toasty all day - this includes winter wading.
For gloves, it sounds like you are on the right track but I would urge you to buy, and have on your person at all times, at least one extra pair of each layer. Fly fishing is guaranteed to get water on your hands at some point. Having an extra pair lets you stay warm for twice as long.