I can't find the reciept from the store to let you know the name, but there is a store in the Megamaxi on 6 de Diciembre (parking garage side, by the tailor) that sells yarn. Unfortunately, they only sell acrylic. They do have some novelty yarns, though, for those of you who like that sort of thing. The woman working there was unable to tell me why they didn't carry wool. If I go back and see someone else there, I'll ask again. This aversion to the most fantasic commonly available fiber for textiles is a mystery to me.
They also carry embroidery floss, thread, and other things you need for sewing, including a limited selection of patterns.
Hojasdegracia -- I see your comments, and will check out the places you mention when I get a chance.