How I do it to create the "veil" effect. I do this for gooey bobs, single Jensen eggs, etc. Like kkk I typically fish the rubber bait above the hook on the leader, and often I want/like the wool to be above the "bait," not below it on the bait loop.
I thread the "bait" onto the leader with a large sewing needle. Sometimes in a pinch on the I'll just thread it onto the hook and push it up over the hook eye, however I find this makes the hole in the rubber bigger than needed and sometimes this causes it to ride down the hook.
Once the egg/bob is threaded I'll take my wool (typically white) and cut about a 3 inch strand. Then, I'll separate/tear off about 1/4-1/8 the thickness of the wool depending on how much of a veil I'm looking for. I tie the wool in an overhand knot on the leader and slide it down above the egg/bob. Then separate it with you fingers, really pull all the little strands apart. Trim up the length with your scissors. Done.
You can fish more than one color of wool this way. Just tie successive strands above/below the first one depending on what kind of look you are going for. IMO it looks pretty good/natural. If you separate the stands thin enough there will only be a tiny small knot on your leader. Hardly noticeable.
To me this looks good and I fish it with confidence. However if you're not happy with the way it looks you may have to take it one step further, as suggested by Reiber.