Kill a skeleton to get bones. You can right click a wolf with bones to tame the wolf. It might take as many as three bones to work.
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You have to give it bones.
No
Not in the current Vanilla (Minecraft without Mods) Minecraft, no. But their are a few Mods out there that will make that possible.
You can't make a collar. When you get a wolf, they automatically get a red collar. You don't need to make a collar.
first, tame the wolf with bones. then it will follow you. right clicking it will make it sit and it will stop following you. right click it again to make it follow you.