Not sure
But hint for further encounter with golems: golems are made of stone, pickaxes work best against them

We tried that but even with iron tier it didn't seem to do much damage to them.

No idea why a wolf would do more damage to a golem, I haven't experienced that in my games.
Against Stone Golems your best weapon choice is Maces for Blunt Damage. Golems take normal blunt damage and are very weak to pickaxes (everything else they are highly resistant to). Maces are a better choice than pickaxes because its much easier to attack with them safely and get in more hits, which makes up for the lower damage per hit compared to pickaxes.
Any other damage type is just a waste of time.

I don't know about the wolf thing, but get the golem near a ledge and jump on his head carefully then pick axe him. Takes a little trial and error but by far the simplest way I've found to deal with them.