A woolly rhino had one main ability it is the absolute best creature to collect thatch when you give it enough room to charge it can destroy tree like they are not even there collecting thousands of pieces of thatch
There creatures are almost entirely passive, so long as you don't attack them. If you do aggro one (to kill it for either it's great pelt supplies or it's horn), it is best to get on top of a small cliff or something like that. Running away is almost always futile, as not only do they move faster the longer they charge at you, they do up to 10 times as much damage. If you are to run, don't run straight, unless you'd like to be a rhino's horn decoration.
Just build a small 3x3 taming pen with stairs leading in from the outside then hit it with a tranq dart or arrow and jump on and argy and repeat until it’s in the pen then just keep hitting it with tranqs
When tranqing. Place 5 or more large bear traps in a row between you and the rhino. Then stand behind the traps with the traps between you and the rhino and shot it. The rhino will charge and get stuck in the bear trap for 10 seconds, followed by the next and so forth.