To unlock Wolf, go to the stage "iseki" (Ruins). If you can't read Japanese and don't know which stage that is, it's in the eastern mountainous area, and the level has a lot of moving platforms and fire shoots from traps on the ceiling floor very often.
Part-way through the level, you'll get to a flat platform that lowers you down a huge pit, and while being lowered down, there are large crystal spikes on the walls that will come out at you... On the way down, you'll see a door, which is likely the one most of us went in because it looks like you fall into a pit if you keep going down.
Nevertheless, skip that door, and stay on that platform until it disappears. At the bottom of the pit is another door. Go in that one, and there will be Wolf cutscene.
