Green’s Dictionary of Slang

long woollen underwear.

1939		K. Tennant Foveaux 198: She darned or crocheted a purple and pink tea-cosy or outsize woollies as a present for her daughter-in-law who, she discreetly informed Mrs. Montague, was ‘expecting.’.
1977		P. Reading ‘Eavesdropped’ in Nothing For Anyone 40: She’s got a darling baby boy and now / I’m knitting woollies ready for another.
1988		S. Selvon Eldorado West One 40: You would dead in the heat wearing woollies and overcoat in Trinidad.