Learn Farsi: او برای بافتنی کاموا می‌خرد.

It comes from the infinitive bâftan (to knit or weave). By adding the suffix -i to the past stem, Farsi creates nouns or adjectives related to the action. Here, bâftani means the craft of 'knitting' itself, though it can also refer to a finished knitted garment.

Why use kâmvâ for yarn instead of the word for wool?

kâmvâ specifically refers to manufactured 'knitting yarn' regardless of its material (it could be acrylic, cotton, or wool). If you wanted to talk about raw animal wool or wool as a general material, you would use the word pashm.

Why doesn't the direct object kâmvâ take the -râ marker here?

Because she is buying yarn in a general, indefinite sense rather than a specific, previously mentioned ball of yarn. As an English speaker, it is easy to forget that the marker -râ is strictly reserved for definite direct objects (like 'the yarn' or 'that yarn').

Where would an additive connector like be alâveh or afzun bar in go if I wanted to link this to a previous sentence?

These discourse connectors almost always anchor the very beginning of the clause. To say 'Furthermore, she buys knitting yarn', you would simply place the connector at the start: be alâveh, u barâ-ye bâftani kâmvâ mi-kharad.