The goal of Capture The Wool is to take the other team's wools and bring them back to your capturing monument. This monument is often at your own team's spawn, but can be somewhere else too. The team capturing all enemy wools wins.
Always have some players attacking and some defending. If you have no attackers, you can't win, and if you have no defense, they will steal your wool and you will lose.
Also, when your teammate picks up the wool, try to defend them, and distract anyone trying to kill them. Similarly, when someone on the other team picks up the wool, do everything you can to stop them. If they are too far away, you can shoot. People have been stopped one block away from capturing before, you can do it too.