So i've been farming wool pretty regularly and i think i've got a good system going. You'll want to grab some basic equipment first - definitely need shears and a net launcher with some net canisters (just craft those with explosive powder from pufferfish). The tricky part is actually catching the llamas, but once you spot them on larger islands, the net launcher makes it way easier.

When you get them back to your raft, which can be a bit nerve-wracking with sharks around, you'll want to set up a nice area with grass plots. I learned the hard way that you need to keep those watered or the llamas won't give you any wool. Each shearing gives you one piece of wool, and as long as you keep them fed with the grass plots, they'll keep producing indefinitely.

Something interesting i figured out - if you don't feed them they'll still hang around but they get all sad looking and stop making wool after just two shearings. Better to keep them happy with fresh grass! Makes crafting stuff like backpacks way easier when you've got a steady supply coming in. The whole setup takes a bit of work to get going, but once it's running smoothly you'll have all the wool you could need.