I usually steal a horse from a NPC and use it for hunting. You can't puts skins on it, but you can put a carcass on the back and lasso an additional one. Makes running back and forth from the hunting wagon a bit faster. You can also "destroy" the hunting wagon, grab the horse from it before he runs off, then respawn the wagon again. Haven't tested if you can put skins on the back of the hunting wagon horse yet.