Start by dividing up your wool in the necessary parts:
(Make sure you have some extra wool on the side though for corrections.)
* 4 legs * body * neck and head * 2 ears * tail
You can use a toothpick or something else to roll the wool on. Needle on top. As always when you have included something hard in the wool you need to be careful and not force the tip of the needle or it will break. If you are careful the needle tip just slips to the side of the toothpick.
Once you have the parts you can assemble.
You want the ends of the wool that will attach to another part to still be kind of fluffy so they mesh in with the other part.
You attach the legs to the body by just needling the parts together.
When everything is in place, you can start defining and giving more character.
The head/neck part needs to bend.
Maybe you need to add some more wool to the nose.
Just add black wool, needling it on, to get eyes and nose.