Have you looked at the horses and seen what scripts they use that makes them mounts? Find one in the construction set that you know the player can ride and then see if a script is attached to it. Press the three dots ... button to read the script. At least, that's how it was in Morrowind, I haven't actually looked that closely at the script function in Oblivion.
But that's the first thing that you should check out. You may be able to just make a unique wolf, attach the mountable script to him and then ride him. Or you may have to change some of the language in the script to apply to your unique wolf instead of a horse. That's where I would start if I were you. Cool idea.
