A lot of Shetland fleece is perfectly usable without using soap; there's not so much grease it causes any problems. Some breeds have greasier fleece, and it can cause issues with carding. (As well as making the drum carder rather mucky. Don't card greasy fleece on a drum carder you also use for glitter...
)
One thing I have found is that, as it requires very hot (too hot for your hand) water to really shift grease, you can wash fleece with some soap (I use Ecover washing-up liquid) in not-quite-hand-hot water, which cleans up any dirt that remains after the cold soak (which I always do first, whether I'll be washing with soap or not) but leaves most if not all the grease in place.
(The above is not true if you use Power Scour, by the way; it can shift the grease at lower temperatures.)
And another tip is to process your greasy fleece in the warm - either on a warm summer's day, or next to the fire on a winter's day. If it's cold, the grease can be a bit solid, and make it quite difficult to work the fleece.
If you're making something you want to be waterproof, you would also wash the yarn with only a little soap and not too hot. Otherwise, wash the yarn in very hot very soapy water to remove the grease at this stage - I love the way the yarn blooms and whitens when you wash the grease out! It helps to make a very soft lofty yarn, but you do need quite a bit of soap and extremely hot water to get all the grease to dissolve and leave the yarn.
At Shetland Wool Week, Deborah Grey was doing workshops on fleece prep and spindle spinning. She'd selected the fleeces from Jamieson & Smiths, and was using them straight from the warehouse. They were lovely