Find a friendly sheep? Knock on the door of the babushka across the hall?
Fortunately, Moscow is knitting mad and almost every neighborhood shopping center will have a small craft shop with a selection of wool. One of the most common chains is Igolochka, which specializes in sewing equipment but also offers a basic choice of wool.
If you take your knitting really seriously or are looking for a bargain, trek up to Semyonovskaya metro and discover the Semyonovskaya Pryazha factory shop. Here you can buy pure and acrylic wool of all textures, colors and sizes at very low prices. The shop also sells patterns, needles and buttons if you're looking to start a new craft project or hobby and need to kit yourself out. The best thing about the shop is the incredibly kitsch bags which feature Victorian ladies and kittens knitting in harmony. Don't ask why.
If you're a hipster knitter, head to Ili-Ili at the Flacon Art and Design Center. Peruse the array of cozy wools on offer, have a coffee or join in one of the shop's knitting classes to hone your skills.
Igolochka: igla.ru, various locations
Semyonovskaya Pryazha: 5a Ulitsa Izmailovskaya, Metro Semyonovskaya
Ili-Ili: ili-ili.net, Flacon, 36 Bolshaya Novodmitrovskaya Ulitsa, Bldg. 2, Metro Dmitrovskaya