Not necessarily. It would be similar to cotton long John's underneath wool pants. It just creates pockets of air. The heat comes from your foot. The extra barrier would eliminate conductive heat transfer from your foot to the wool while adding in pockets of air such transfer less heat via convective transfer. The problem would be if your foot sweats as now you're adding in a cotton layer that will absorb that moisture and reduce its insulating properties.

So do socks and sandles