Since woolen blankets are usually stored when not required, it's important to protect them in storage from pests and dampness. Years ago, moth balls were used to keep insects from destroying the wool fibers, but this method left a lasting, hard-to-get-rid-of unpleasant scent that permeated the whole room.
Today, you can easily store these blankets in a tightly-sealed bin or heavy plastic bag. If pests are a real concern in your area, you can add a few cedar chips which are available from most general merchandise outlets. Cedar wood is a natural flying insect repellent and is a good alternative to moth balls.