Says Bartlett Yarns Inc. (historic functioning yarn mill in Maine) was the site of filming, which implies wool.
They have a website. Looks like it is the correct mill too. Check out the picture of their facility. It is also in the right area, Harmony Maine, since that is listed in the IMDB as a filming location.
http://www.bartlettyarns.com/themill.cfmHa, you can even buy yarn from them. I would suggest avoiding the red or yellow.