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.