Jo koldere det er, jo mere uld vil jeg have på.

It is the Danish pattern for the ... the ... in English.

So:

• Jo koldere det er = The colder it is
• jo mere uld vil jeg have på = the more wool I will want to have on / wear

This pattern is very common in Danish for showing that one thing changes together with another.

Examples:

• Jo mere jeg læser, jo mere lærer jeg.
  The more I read, the more I learn.
• Jo ældre han bliver, jo roligere bliver han.
  The older he gets, the calmer he becomes.

You may also see desto instead of the second jo, especially in slightly more formal Danish.

Because kold is a short adjective, and in Danish short adjectives usually make the comparative with -ere.

So:

• kold = cold
• koldere = colder
• koldest = coldest

Using mere with kold would sound wrong in standard Danish.

A quick comparison:

• kold → koldere
• stor → større
• lille → mindre
• interessant → mere interessant
  Here mere is used because the adjective is longer.

So in your sentence, koldere is the normal comparative form.

Because uld is an uncountable noun, like wool in English.

In Danish:

• mere = more, for uncountable things or quantity in general
• flere = more, for countable plural things

So:

• mere uld = more wool
• flere trøjer = more sweaters

You cannot normally count uld as separate units, so flere uld is not correct.

Because uld is being used as a mass/material noun in a general sense.

Just as English often says:

• I want more wool
• not necessarily I want more of the wool

Danish does the same:

• mere uld
• not mere en uld or anything like that

If you were talking about a specific wool item, you would use a different noun, for example:

• mere uldtøj = more wool clothing
• en uldtrøje = a wool sweater

In the sentence uld means wool in general, so no article is needed.

Because the first jo-clause behaves like a subordinate clause, so the word order is the same as in many other Danish subordinate clauses: subject + verb.

That is why you get:

• Jo koldere det er

and not:

• Jo koldere er det

So here:

• det = subject
• er = finite verb

This is one of the things learners often just have to get used to: in the jo ... jo ... pattern, the first clause usually has subordinate-style word order.

Because the second part acts like a main clause, and Danish main clauses follow the V2 rule: the finite verb comes in the second position.

Here, the first position is taken by:

• jo mere uld

So the finite verb must come next:

• vil

And then the subject comes after it:

• jeg

So:

• jo mere uld vil jeg have på

If you put it in a more neutral order without fronting that comparative phrase, you would get:

• Jeg vil have mere uld på.

But once jo mere uld is placed first, Danish main-clause word order gives vil jeg.

Here have på means have on or wear.

So:

• jeg har en trøje på = I have a sweater on / I am wearing a sweater
• jeg vil have mere uld på = I want to wear more wool

This is a very common Danish expression.

A few useful examples:

• Hun har sko på. = She is wearing shoes.
• Han har hat på. = He is wearing a hat.
• Jeg vil have jakke på. = I want to wear a jacket.

So even though have usually means to have, have på often corresponds to English wear.

Because på is part of the expression have på, and in Danish these small particles often come later in the clause, especially when there is an object before them.

Compare:

• Jeg har en jakke på.
• Jeg vil have en jakke på.
• Jo mere uld vil jeg have på.

So the structure is:

• have
  • object + på

This is very normal Danish word order.

It does not refer to a specific thing. It is a dummy subject, like English it in weather or general-condition expressions.

So:

• Det er koldt. = It is cold.
• Det er varmt. = It is warm.

In your sentence, det is just the normal subject used with this kind of statement. It does not mean a particular object.

Yes, it is grammatical and understandable.

It means something like the colder it is, the more wool I want to wear.

That said, in everyday Danish, people might also say something a little more concrete, such as:

• Jo koldere det er, jo mere tøj vil jeg have på.
  = The colder it is, the more clothes I want to wear.

or

• Jo koldere det er, jo mere uldtøj vil jeg have på.
  = The colder it is, the more wool clothing I want to wear.

So your sentence is fine, but uldtøj might sound a bit more specific and natural if you mean woolen clothes rather than wool as a material.

Yes. That is possible.

So you can say:

• Jo koldere det er, desto mere uld vil jeg have på.

This means the same thing.

In modern Danish:

• jo ... jo ... is very common and neutral
• jo ... desto ... can sound a bit more formal or written

Both are correct.

Yes: jo is pronounced roughly like English yo.

So in this sentence, both jo words sound like:

• yo

They are not pronounced like English joe.

That is helpful to remember, because English speakers often want to pronounce Danish j like English j, but in Danish j is usually like English y.