They certainly did wear wolf pelts, though perhaps not always. The main source for this is Polybius (6.22). I'll quote him for you:

They also wear a plain helmet, and sometimes cover it with a wolf's skin or something similar both to protect and to act as a distinguishing mark by which their officers can recognize them and judge if they fight pluckily or not.

Lendon (Soldiers and Ghosts, 2005) sees these wolf-skins as an important component of the demonstration of virtus by the velites in combat, who had no officers with them but had to be recognised for their achievements by soldiers and officers fighting from some distance away (187-8). Apparently, there is also a view that these wolf-skins were a relic of Indo-European "wolf-warriors" (423: for more on this see Speidel, 2004, 13-17).

That said, the name velites means 'cloak-wearers' (Keppie, 1984, 219), so they were identified more by their lack of armour/role as skirmishers than by the exotic headgear some of them wore. Polybius seems to imply that not only did they not all wear pelts over their helmets, but that they were not always wolf-pelts. They might have as easily wore the skin of a different animal or merely something colourful to distinguish themselves as individuals on the battlefield. Indeed, if they all looked exactly the same it would defeat the purpose Polybius (and Lendon) attributes to their wearing of wolf-pelts in the first place!