Wool Sweater (1/4)
Before exiting the Contraption Lab via Softpaw's surfboard, take a left from the board itself. Hop across this small gap into Top Secret Storage, then climb the stairs to find the first sweater.
Wool Sweater (2/4)
When you land in Sheep Tower, hang right and break through the crates along the path to reach another sweater.
Wool Sweater (3/4)
As you hop across the spinning blades in Chompie Churners, take a left at the second blade. Follow this path to the Secret Testing Grounds. Defeat the enemies here to open the battle gate and grab another sweater.
Story Scroll: Kao's Laboratory
You'll come to a fork in the path just shortly after the same blades. Take a left and follow the stairs down to another spinning blade. Hop across it to reach this.
You can jump from the same blade to a short path leading to an Earth Elemental Gate. Use an Earth Skylander to open it, then complete the challenge inside to receive this.
Wool Sweater (4/4)
When you reach The Gauntlet, keep left at the fork to reach the Goo Pit of Doom. The goo here continually drains and refills, so move quickly and carefully to grab the sweater at the bottom.
Legendary Treasure: Skylander Scope
Shortly into Sheeplight Checkpoint, you'll see a dual Magic/Earth Elemental Gate to your right. Create a Swap Force character with these elements (or use the appropriate Skylanders, if you're playing co-op) to open the way. Complete the fishing minigame inside to receive this.