Wet felting - Curly wool always wet felts better from root to tip. So when using curly fleece it is best to start working the root end first... a tip I learned from a farmer here was to firstly layer up Merino, Blue Faced Leicester or Shetland and then slot the root end into this before beginning to felt. This way it should take much better... you may find the odd curl won't felt all the way down, depending on the breed so it might be worth lightly needle felting these to anchor them and wet felt afterwards.
The other tip is a bit of extra soap and extra hot water, because all curly wool is usually sold best with a little lanolin in it, it will need a little extra soap to take the lanolin oil off of the scales in each hair so that they lock together better.
Needle felting - Again, if you start by bedding the root onto your base fibre you should find that you can attach the curly locks quite easily. If you want to attach the curls flat against your felt, rather than like a 'wig', then I do recommend using a smaller needle (38-40) to anchor each curl at the very widest points of each curl.
Here's where to get your materials and equipment for feltmaking and spinning... Sara's Texture Crafts