To display wool when rendering Vray, go to the Rendering / Environment / Effects tab and click Hair and Fur. In Hairs from the drop-down list, select "mr prim
Who works in the V-Ray version is lower than 3.1. Be careful, in the materials in the BRDF section there is a Microfaset GTR (GGX), if your version is older than 3.1, the BRDF field will be empty. Choose Blinn, Phong or Ward - which is preferable to you.
For Corona render, it is recommended to install a version not lower than 1.5, since the glossiness of materials is customized taking into account PBR
Enjoy using and successful projects =)