The more layers you have, the more dimension and depth your piece will have. My Janome FM725, needle felting machine is what I use to create not only depth and dimension but also texture.
This particular machine has no bobbin and no thread. It has a five needle unit and a single needle unit. Each needle has barbs at the tip which is used for splitting and locking the fibers to the base fabric. In my needle felted pieces I use felt as the base fabric, then pile on layers of silk rovings and any of the following: wool rovings, carrier silk rods, degummed throwster silk, silk cocoons, scraps of fabric and sparkle threads. The company I get my silks from is Treenway Silks in Salt Spring Island, BC, Canada. I also use my hand-dyed cheese cloth.
Now comes my favorite part. It's time to embellish with beads, hand embroidery and found objects which add yet another layer. I do enjoy hand embroidery as I find it very contemplative.