Yes, sadly all the natural animal fibers attract moths. You can use moth balls if you want but they are so stinky! I keep my yarn in either a plastic tub with a tight lid or a good plastic bag with no holes. So far so good!

mad for crochet!

Cedar blocks can also be used to detract moths, and they smell way nicer than moth balls too.

I've heard that lanolin is good for keeping moths away. I think Brown Sheep Company yarns say they're treated with lanolin to make them moth proof. I don't know how well that works. Though, I haven't noticed any trouble with moths in my collection of BSC yarn or any of the other wools and wool blends I have in my stash. Otherwise, the two previous suggestions are about the best ones I know of.