Sammy Mcllroy's side had looked set to win in normal time when Carl Baker struck from the spot in the 61st minute only for Andy Keogh to equalise with a penalty of his own seven minutes from time.
But battling Morecambe were not to be denied and substitute Newby struck with a goal that was a nightmare for Wolves' on-loan Reading goalkeeper Graham Stack.
Newby hardly got any power on his shot from 12 yards after he was picked out by fellow substitute Matthew Blinkhorn but Stack
somehow let it slide through his fingers.
Thompson then dashed Wolves comeback hopes in the 105th minute when he raced on to a Baker pass and calmly lifted the ball over Stack.
Wolves only had themselves to blame as they never got into gear and got a sign of what was to come 16 minutes into the second-half.
Skipper Karl Henry was dispossessed in midfield by Gary Hunter who then released Michael Twiss. His powerful run into the area was halted when he was brought down by goalkeeper Stack. Referee Anthony Taylor had no hesitation in pointing to the spot.
Baker, who had also converted a penalty against Mansfield Town last Saturday, sent Stack the wrong way from the spot.
Unfortunately for Baker he went from hero to zero to hand Wolves a lifeline. As Wolves mounted a late rally, Baker's challenge sent Keogh crashing to the floor and Taylor immediately awarded his second spot-kick of the night.
Keogh picked himself up and calmly drilled a well placed penalty into the bottom corner of the net.
But it was a false dawn for Mick McCarthy's side as Newby and Thompson combined to secure Morecambe's latest famous victory.
Morecambe had been far from overawed on their first ever visit to Molineux and were unfortunate not to take a lead into half-time. Twiss saw his 10th minute 'goal' disallowed for offside before Baker's shot was blocked.
Craig Stanley then hit the bar after 27 minutes, Twiss tested Stack and Jim Bentley headed wide when perfectly placed.
Wolves finally woke from their slumbers three minutes before half-time but could not find a way past Lewis.
He pulled off a stunning one handed save to push away a close-range header from Kevin Foley after a left-wing cross from Charlie Mulgrew.