Here is an article that I found to be quite interesting. I've felt an actual sheepskin before and it IS quite soothing. One of the most comfortable things I've ever come across in fact.
If anyone out there has used one of these while comforting their colicky baby, please let me know what your results have been. If I get enough votes, I might just include it in my new book due out any day now.
Sheepskins Calm Colic Baby: "Sheepskins help in soothing colicky babies. Moms and dads should hold the baby close to them while at the same time cuddling and rocking them. Wrap them in a sheepskin while you are holding them close. Sheepskins are warm and tender. The warmth and the tenderness provided by the sheepskin will help the baby feel secure and lessen the crying.
Sheepskins also regulate the temperature. They can also be used as great padding and underlay for the baby. They provide a soft cushion for the baby and pull out the moisture. In this way the baby is safe and dry. While lying on the sheepskin, you can even massage the tummy of the baby, providing some relief from colic. Remember that small things help the baby to feel secure and wanted. Secure babies are less colicky and colic also goes away faster. Moreover many sheepskins are also machine washable, making it easy to use and keep. In this way mothers and caregivers can use sheepskins for providing comfort to their babies."