Put it this way.....a sheep is smaller than us, but it's fleece weighs everything from 5 lbs to 12lbs.....how much do you think you'd need under you for warmth and comfort ? We went to the bother of spinning and weaving blankets for a good reason

Felting works, but again, since it's so dense, it's heavy when made up in bulk.
I think if you were going to go to that bother it might be a better idea just to carry a reindeer skin. Make sure you get one that won't rot when put down on the ground though, and accept that it will lose hair; they all do, some worse than others.
There's no easy 'natural' answer to this. Either you must make your bed where you find yourself, or be prepared to carry weight.
These days I take a down mat

but it doesn't quite fit in with the natural kit idea
cheers,
Toddy