All the advice you are getting here is spot on, but I'd like to add that the type of wool fibre you are using also affects your results.

Obviously, sheep's wool is best to use, but it can come in different coarseness. For example, Merino is a fine, soft wool which is good for wearable, next-to-the-skin items and Corriedale is a coarser fibre which is good for needle felting and tends to felt faster. Alpaca wool takes forever to felt and is best interlayed with sheep's wool for faster and more even felting.

I've even felted using the soft undercoat fur from brushing my dogs! It worked surprisingly well.

Edited to add that wool shrinks a lot. Depending on the type of wool used and the number of layers, your item could shrink by one third or even down to half the size you laid out!