Patons Classic Wool (available in Canada) is a merino pure wool. Tension is 20 st=10 cm(4") on 4.5 mm (US 7) needles.
Worsted weight is a 4-ply wool/yarn. You would normally use it for sweaters, hats, mitts, afghans, etc.
I did a felted bag (first attempt) used Noro Kureyon wool (Japanese) It turned out pretty well.Pattern was very simple done on circular needle. I did the felting in my washer. Put the bag inside a pillow case (otherwise you'll get wooly bits in your machine) along with some old blue jeans and an old mat. Used hot water and found I had to do 3 washings to get the right amount of shrinkage.
You might want to start with something like a bag which would be less dependent on shaping than a hat. Especially if the wool is expensive.
Hope this helps. Good luck.

Try knitting up a swatch and seeing how it felts. You can get an idea of stiffness and how far down it shrinks. Some colors don't really felt well - mostly pink and white are not good felters.

You'll want to do only the agitation cycle, especially with a hat. The spin cycle can spin creases into it or mess up the shaping.

Here's a really good book on felting. I took a seminar from Beverly Faleskas (the author) once, and she's got good info.

Here is a link that might be useful: Link to book on felting