I've never used that yarn but many people on a soaker group I'm on do and no one has complained. I would turn it inside out, lanolize the helk out of it, like overnight and maybe a few times. Sometimes when I first knit something up it takes a few lanolizes before it really works.
Are you lanolizing properly? You should be putting hte lanolin in hot water with a few squirts of shampoo or castille soap, shaking it up till it's milky white and no clumps of lanolin, then put in your soaker overnight. And as previously mentioned, inside-out.