Not just any needle will do! A felting needle has small barbs in the end, so when you stab through the wool they will catch on the scales of the fiber and push them together. The more you stab, the more fibers mat together slowly turning the wool into solid felt.
Felting needles come in different gauges, numbers of barbs, and needle shapes. The gauge number refers to the diameter of the needle. These all have their purpose, so you might need a couple of different needles to get the job done.
Red - This is a 3-pack of needles that includes sizes - 40, 38, and 36 gauge.
Green - 40 gauge - for fine work
Blue - 38 gauge - all purpose
Yellow - 36 gauge - for quick felting
Orange - 38 gauge Spiral - quick felting that gives a neat finish. (not meant for doing bulk sculpting work)