Hey Neikard
I actually just researched something similar to this very recently.
Don't throw out your old wool clothes, and don't feel bad about them. Sheep died and suffered for those clothes - don't let their lives go to waste by throwing them out. They're gone and the damage is done, throwing them away won't fix that. You bought those things when you didn't know any better. Making a new lifestyle choice is a learning experience. You can't beat yourself up every time you find out you did something you don't agree with now, at a time when you didn't know the truth about it.
I'm a vegan, and an avid animal rights activist - and I still wear wool. I wear wool clothes strictly from op shops, because I don't believe in wasting those lives. That's an attitude lots of other vegans and vegetarians have had an issue with, and I've listened to those opinions, and will continue to do so. At this point in time, I don't see how it benefits anyone or anything to throw away these items. As long as I am not buying new woollen items and supporting the industry financially, I feel I am doing my part.
Secondly, there are lots and lots of alternatives to wool that aren't expensive at all. When you need new clothes, you will most definitely find that things like acrylic or bamboo yarn are cheaper and often times more variable in texture and style than wool.