My new comforter sucked and now i'm itchy, please read further and help!?

i bought a cheap-ish comforter at wal-mart. at first, it didn't itch. i mean, it was stiff and i figured it would get soft as i used it more but it didn't. either way, it didn't itch up until recently. it was a burgundy color but under it was white and the material was tough. anyway, it began to get itchy and i noticed that these little white hair-like things would stick to my skin and cause me to itch even more. from there, i stopped using my comforter and decided to wash it/dry it and that only ruined it so i threw it out. however, i'm still stuck with these hair-like things. they're all over me, my clothes, my bed most likely. what can i do to get rid of all of this? will it be as easy as washing my clothes and bed sheets? i really itch, its awful.