The wildlings didn't exactly have much knowledge of what went on south of the wall. Whilst there were people like Mance who used to be a crow, he was very unlikely to be highborn, so wouldn't have much knowledge of the North's war capabilities.
They had no spies in enemy camps to be able to track troop movements, or any idea of the numbers of men other armies may have.
This means they have no idea what they would be sailing into. The northmen could have had fleets of ships to stop them before they got anywhere near land for all they knew. Remember, Jon managed to convince them that 1000 men manned Castle Black, when in reality it was less than 200.
So they would not have risked a small strike force (like the one that Ygritte and Jon were a part of) traveling that way, never mind a full army (hence why they went over the top of the wall).
This is besides the rest of the issues:
They had no skilled shipbuilders, sailors, harbour to build ships and get them south of the wall. They can probably build rafts and small vessels, but whilst the wood was lucrative, they wouldn't have had nearly the resources or expertise to make a fleet able to transport the number of troops they had.
If they had landed in the North or South in large numbers, the people living there would have fought back (rather than just the Night's Watch).
They were unorganized, any decent army could have flattened them in the field (as Stannis proved) and they could have not have laid siege to a castle for very long.
After capturing Castle Black, they would have had a half-decent fortification to defend themselves from anyone trying to send them back north of the wall, as well as control of the wall itself.
The only defensive strategy of the wildlings was their sheer numbers. They knew the Night's Watch were not an army, they were glorified guardsmen. Whilst they were more regimented than wildlings, they didn't have any chance of beating the wildlings in open combat.
The wildling's only hope was to oust the Night's Watch from Castle Black and take it for themselves. And it would have worked too, if it wasn't for that meddling Stannis.