Context: The Spaniards have a proverb: "He who goes seeking wool returns fleeced." Wool-gathering is synonymous with day-dreaming. As one damsel confesses in Part II, Chapter 57, after falsely accusing Sancho of stealing her garters: "My thoughts ran a wool-gathering, and I did like the countryman, who looked for his ass, while he was mounted on its back." In the earlier use of the expression, as a joke played on Don Quixote by his host, the Duke, the arrival of Countess Trifaldi, the Disconsolate Matron, is announced, come to beg assistance from the Knight of the Sorrowful Countenance. She enters through a lane made by her twelve waiting-women, falls on her knees before the Knight, and in a voice "rather hoarse and rough than clear and delicate, "says:
. . . Alas! the sense of my misfortunes has so troubled my intellectuals that my responses cannot be supposed able to answer the critical opinion of your presence. My understanding has forsook me and is gone a wool-gathering; and sure 'tis far remote, for the more I seek it, the more unlikely I am to find it again.