Wolves, in general, do fine if captured during the day and not part of "You are being hunted". Whatever spawns at night is very likely to disappear at daybreak or when you leave the cell. I was able to breed a couple of 1-star wolves, no problem. The one 2-star wolf I bothered to capture was a nightspawn and disappeared.
Those critters still despawn, so make sure to catch creatures during the day.
At one base I'm using a quarry to capture Greydwarfs. Even with them only those from
the day remain.