E. Cobham Brewer 1810–1897. Dictionary of Phrase and Fable. 1898.
Cry.
Great cry and little wool. This is derived from the ancient mystery of David and Abigail, in which Nabal is represented as shearing his sheep, and the Devil, who is made to attend the churl, imitates the act by “shearing a hog.” Originally, the proverb ran thus, “Great cry and little wool, as the Devil said when he sheared the hogs.” N. B.—Butler alters the proverb into “All cry and no wool.”
