Emma is prob best person to answer your questions. It'll be procion dyes I would have thought if it's OBV. Blue dyes are the worst for leaking excess unfixed dye, with wool and acid dyes or with cellulose fabrics and procion MX dyes. Red is bad too obviously as it turns things pink, but with blue quite often dye assists are useful to actually get them the blue dyes to be absorbed better. I've never actually bothered to use any dye assists though.
With the interlock it depends on the type of interlock. If it's 100% it will probably stretch like most merino is prone to, so especially around waist, hips, areas where there is stretching from movement. If it's more expensive lycra blend then it shouldn't stretch out particularly or shrink at all really either. Sounds like the lycra blend to me if it feels tight.
With the nappy, wash it with some black clothes for a few washes. That's what you should always do with any clothing if you're not sure they are colourfast, especially hand dyed. If the nappy is lined with BV you should be able to tell if it's stopped leaking colour by where the inner undyed BV is at the elasticated parts. It'll leak onto there probably during washing, but there is nothing to fix the dye particles so will wash out and should stop leaking provided it was fixed. There is always excess dye though even when you use excess amounts of fixative.
With the wool, just hand wash and you'll probably notice any dye leaking when you lanolise first few times.
Always prewash, not just for absorbency, but so your LO's thighs won't turn blue... Procion dyes are non toxic, so will be fine (just blue). I use rederan to get dye off skin when I'm stupid enough to get it up my arms on or my hands. The main issues with dyes is when they are in powder form so can be breathed in.
My HO nappies never came today, so I probably won't get it until Wednesday as postie will try to deliver on Monday when I'm out.