What you see in the pictures is Patons bulky yarn that is a wool-blend. If you go for pure wool, the necklace will felt, and so you should make your necklace substantially longer so it will continue to fit over the years.
I have received tons of compliments for this necklace. While you can make this with short rows, you can equally use the finger-knitting technique to make this. (Consider using a double-thread if you have thick fingers; this yarn would be perfect for kids hands to knit with).
Obviously, this is a very versatile, forgiving pattern, for you to get creative with. You will find that a layer of yarn around your neck will add some warmth, without the bulk of a scarf. Fun to make, fun to wear, fun to give, fun to get. For more information, see: http://www.finecraftguild.com/finger-knitting-projects-chain-necklaces/