Removing odor from your wool blanket can vary depending on the actual odor that is coming from it.
There are many things that can leave a lasting odor in your wool blanket, such as cigarette or cigar smoke, cat urine and things of that nature.
You might even get an odor from a cleaning substance you have used on the vintage wool blanket that you would like to get out, or at least lower the potency.
One method is called an ozone treatment and is great for organic materials like wool or yarn. You can get an ozone treatment from your dry cleaners or there might be a specialized place near you that will do it better.
Sometimes a company that deals with smoke damage or fire restoration will have the ability to remove odors from your wool blanket as well.
If you would like to clean the odor out of your vintage wool blanket at home you can do a simple wash but add some vinegar or vanilla extract, flavoring or vanilla fabric softener.