Before you get all worked up about a Wool sensitivity you owe it to yourself to schedule a sensitivity scratch test with your doctor.

Find out exactly what you are sensitive to and to what degree. You then have good data to work with.

It may not have been the Wool at all. Or perhaps your sensitivity is not too severe to preclude you from wearing a kilt with something like an underkilt.

You can make an underkilt very easily. One regular cotton t-shirt and some elastic. Cut off the bottom of the shirt just under the arm holes. Sew on the elastic. viola!