Hi Oceanik,
Yes. A mattress protector is important to protect your mattress from stains and the body fluids, skin cells, and oils that we release each night, to protect against spills and accidents, and to keep your sleeping surface in a clean and hygienic condition. It will also protect your warranty because most mattress warranties are usually voided with any type of stain on a mattress. They can be easily removed for washing and are usually designed to have the least possible effect on the feel and performance of the mattress itself. There is more about the pros and cons of different types of mattress protectors and some examples of each of them in post #89 here.
A wool quilted cotton protector would generally be the most temperature regulating but it will also have a slightly bigger effect on the feel of the mattress and would be less water resistant than a thinner mattress protector that has a semi breathable waterproof membrane.
A wool blanket is normally woven rather than needle punched or felted to densify it so it wouldn’t be as water resistant and it also may feel a little more prickly and not as soft as a wool quilted cotton protector or puddle pad. If you decided to go in this direction then it may be a good idea to felt the blanket to improve the water resistance.
Phoenix