Punch Needle Yarn
The best way to start is with pure new wool or a mixture of new wool and acrylic. The thickness of the yarn or wool should match the hole of the embroidery needle. If the thread is thicker, there will be too much tension on the embroidery thread and it will form irregular loops or you will pull it straight back out of the fabric. Threads that are too smooth or too thin for the needle size will not hold in the punched holes. Have you inherited a box of leftover wool from grandma? Go ahead and experiment, it might turn out well!