Wool is the warmest blanket material, especially wool from animals who live in cold terrains. Wool is a natural material that includes a crimp, which helps to hold in more heat than a material with an open weave. It also provides natural insulation.
If you only want to remove free chlorine and other impurities from your water, I recommend getting a Sprite Shower Filter. This is one of the few showers filters that will remove most free chlorine from your shower.