If you dont have fur armor and want to tame/kill some of these, then just about everything can carry it, even pteranodons. So go to the arctic (with hide/cloth armor if you wanna reduce cold a little bit) with a pteranodon, then pick it up! Be mindful of direwolves and other dangerous creatures, though. To minimize the risk, go there with nothing in your inventory or hotbar, and just a pteranodon with a saddle. Then, you can pick them up and transport to your home/a warmer place. Good luck!

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