Some will try chewing them, but in my experience fleece cannot be chewed and broken easily. The pigs might pull it about with their teeth but the fleece is surprisingly tricky to damage by chewing, even with sharp piggie teeth. Cosies with cotton on can be chewed more easily, but are still not easily destroyed.
I have a few pigs who occasionally pull at the edges of their fleece or 'plump' the inside of their cosy with their teeth, but they usually leave it alone.