One thing that I learned from some avid fibre arts ladies I knew:

It seems that people find CLEANER wool MORE ITCHY!

Wool which is washed, carded, and spun by hand is often felt to be less itchy and allergy producing than commercially produced yarns and fabrics. Why? Theory goes to the lanolin which is left from the hand process and is removed during heavier industrial processing.

So I would agree with most guys who have posted: wear it more, let it get a little oily .

Maybe someone can refer you to a kilt made from hand-made yarn. I am sure it couldn't cost more than your house....