First off, I'm assuming by wool you mean fabric? Or are you actually knitting your own and really mean specifically sheep fleece spun into yarn? Either way. Synthetics pill more often than natural fibres. Natural fibres can pill too though, depending on the way they have been processed. If the fabric has been knit loosely (to save thread and money), pilling is more likely to happen. If the yarn used to make the fabric hasn't been twisted very many times (again, a money/labour saving technique of the manufacturer's), you can get pilling. Basically, the more money you spend, the less pilling you will have. Given how fast babies grow out of things, a little pilling may be something you can live with

You can also try washing them inside out and washing them on a shorter cycle.