Perplexes with lots of wool put about very loudly (7)

I believe the answer is:

baffles

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'perplexes' is the definition.
('baffle' can be a synonym of 'perplex')

'lots of wool put about very loudly' is the wordplay.
'lots of wool put' becomes 'bales' (I can't explain this - if you can you should believe this answer much more).
'about' is an insertion indicator.
'very loudly' becomes 'ff' (short for fortissimo, 'very loud' in music).
'bales' placed around 'ff' is 'BAFFLES'.

'with' is the link.

Can you help me to learn more?

(Another definition for baffles that I've seen is " Bewilders, flummoxes".)

I've seen this clue in the Sydney Morning Herald.

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