In chapter 14 of The Watsons Go to Birmingham—1963, some white supremacists firebomb Joey's church. As one can imagine, the scene in the aftermath is one of chaos. People are dead and dying; others have been seriously injured; and the church has been reduced to a heap of smoldering rubble.
Once Kenny hears the terrible news, he immediately dashes off to the church, or what's left of it. He starts looking for Joey, when, all of a sudden, he sees what looks like his shiny black shoe sticking out of the rubble. Kenny tries to grab it, but it won't budge. It seems that's someone or something's got a hold of it.
That something, as far as Kenny's concerned, is the Wool Pooh, a mythical monster that he's come to associate with death. Though this creature is entirely fictitious, Kenny's absolutely convinced that it's real. In fact, he's stone-cold certain that he can see the Wool Pooh holding on to Joey's shoe.
Kenny clearly has a very overactive imagination. The Wool Pooh can be seen as his way of dealing with a difficult situation. As children often do, they devise mythical creatures to try and explain things they don't fully understand. And so as Kenny doesn't understand what's just happened to the church, he instinctively reaches for a made-up creature to try and make sense of it all.