if you are a near a university with a textile sciences (or something similar) department they might be able to put you in contact with someone who knows about this sort of testing (some of the claims yarn companies make are actually based on research). as a scientist all i can say is make sure you have controls!! you might also want to measure the temp of the water just before you pour it into the cup and sleeve to make sure that the temperatures are similar for all groups right from the start. nothing is ever too obvious that you shouldn't take measurements. you might also want to consider the temperature of the room if you aren't running all your trials at the same time. small changes in room temperature are unlikely to cause much of a problem but it would be nice to clearly be able to state that 'experiments were carried out in a room with average room temperature blah blah for all trials'. if nothing else it would show that you are trying to control for as much as possible.
i think it is a good idea that you decided to focus on the one thing - fiber type. you have a clear hypothesis (i'm assuming its 'X fiber is better at insulating than Y fiber) which is key to a good experiment. I wish you guys all the best for your experiment and make sure you tell us of your results!