He would not wear the pelt of his wolf, there is no honor in wearing a pelt you did not earn. Look at it from a hunter aspect, if you are a true hunter, you would not take the pelt of a kill you did not make and use it as a trophy. The talismans and wolf cloaks many wear, they hunted themselves.

Ragnar "Blackmane" Thunderfist is a good example of this, as a recruit he managed to kill a fenrisian wolf. The breed of Fenrisian wolf was a Blackmane, a ferocious breed that is larger than a common Fenrisian wolf. Blackmanes are considered to be the size of a draft horse. The largest breed is a Thunderwolf, which has anatomy more similiar to a Rhino then that of an actual wolf, an extremely solitary creature with most being about 8 feet tall and some said to be the size of a Rhino APC.

Here you go by the way.

"The wolves are a point of conflict between many chapters and the Space Wolves, especially when they have to squeeze into a Rhino with one or suffer it's panting during a tactical briefing" Deathwatch First Founding pg. 108

So Space Wolves do bring their wolves with them, a common Fenrisian wolf or Blackmane would be the most likely "companion" for a Deathwatch Space Wolf, because Thunderwolves are concerned to be extremely aggressive and solitary.(Not to mention most wouldn't fit in the places a SW would go. lol)