It all depends as to where you are hunting. In some zones, all you need is a small game license, in others you will need a wolf tag. Once you shoot your wolf, you will need to pick up a permit at the nearest Ministry of Natural Resources (MNR), its a royalty the province collects, the cost is ridiculous, and will cost you about $1.50, yes a buck and a half.! This will allow you to take the pelt to a tannery, taxidermist or out of country. Without it you could face a heavy fine.
Best of luck, February was great wolf hunting in Ontario!
A good paper trail as has been said, from beginning to the end of the trip. Its been a few years, but a friend brought 3 back from BC, and a CITES permit from the Province was required. He said it seems like $20-25. If memory serves not every border crossing is set up to process the hides, and you may have to use a select station, and cross at certain times. A call to USFWS might be in order. Or a taxidermist knowledgeable about import and export. Then you'll want to keep that info with the hide. Its been a few years, process may have changed, or I remember it wrong. Good Luck.