Anthrax is a bacteria infection mostly infecting animals. It can be transmitted to humans also when they touch the contaminated animal products like wool.
It is not necessary that wool always contains anthrax causing bacteria. In case if wool is infected, then it may cause the disease.
In earlier times, when people were covering themselves with animal skin, sometimes they might have been infected with anthrax and other diseases but as there were no methods available to diagnose these disease, so we cannot say whether they were infected or not. However, I would like to mention that nowadays, the wool is purified, cleaned and tested for any infection before use.