If the sheep were genuinely dipped, then the agent used would probably be an organophosphate, as far as I know - I wouldn't touch the fleece with a bargepole. Most sheep rearers nowadays use pour-ons which are easier to use and not so dangerous. To dip, the operator must be licensed to do so, and have approval for the disposal of any unused dip solution. Pour-ons can be used by anyone.
The advice given by the British Coloured Sheep Breeders Association is not to handle fleece within three months of dipping / use of pour-ons. There are a number of reasons for this, including your own health (you will be in contact with the wool for far longer than just during washing as making the rug will take months) plus the fact that there are rules about the disposal of scouring water for the sake of the environment.
Your best bet would be to contact the farmer concerned and ask him what products he uses on the fleece and when it was last applied before shearing. OPs are too dangerous to rely on guesswork as to whether they have been used or not, and even pyrethroids which are used in some pour-ons are not something you would want to breathe in.
However, I feel I must get on my favourite bandwagon now...buying or blagging just any old fleece from just any old farmer is going to lead, in just about every case, with you getting a very second or third rate fleece. If he was going to be burning the fleeces, then he will not have taken any care over their production, shearing or storage. To get a fleece which is worth spending your time and skill on, source through reputable producers - the BCSBA (above) has a long list of breeders who take care to produce top quality fleece from a wide variety of breeds suitable for craft work. If you are going to be working on a project for several weeks or months, it's worth getting decent raw materials. I understand the appeal of rescuing something which would otherwise be wasted, and I agree that it is a terrible waste to burn good wool, but it's not worth your health to do so unless you can check with the farmer just what he used.