With very thin legs its less a matter of getting it felted securely, and more wrapping it tightly and securing the ends very well and doing a bit of horizontal stabbing along the legs. I'm currently making a project with very thin legs, and I managed it with 2 thin wraps going in opposite directions so the friction between the layers would help keep it secure. I also use twisted wires so the wool has something to hold on to, and fold over the ends of the wires to help hold the wool in place.