In Baldur's Gate, it can be sold to the storekeeper in Nashkel for a neat 500. As far as is known, the storekeeper will always buy them without any limitations. Other merchants are only willing to give 250 for each pelt, which will eventually drop to 150 for each pelt if you have sold any to them earlier.
In Baldur's Gate II, there is nobody who buys them above the price of any merchant found in the game.
|“||The pure white pelt of the winter wolf is soft and luxurious. It is often sewn into garments as diverse as the rugged vests of the northern Uthgardt Barbarians and the delicate and fashionable winter stoles worn by noblewomen throughout the Sword Coast region.||”|