It's the same as it was in Melee (with Fox/Falco), you use side B and press B again right as the move executes then it will be cut short. Wolf's bad recovery time with this makes it generally undesirable, but as said, it can be used for mind games, such as to make an opponent roll dodge in a way that may turn out unfavorably for them (such as placing them right in front of you for a smash or grab). However, the implications are odd with Wolf because of the way his dash is angled upwards. If the person you are fighting is skilled and knows Wolf's move set, then they will likely know whether or not they are in danger of being hit by the attack in the first place. If both of you are on a flat surface like FD there is almost no chance that the move will hit at all, so a skilled opponent will be able to retaliate whether or not you cancel the dash.
I have a question though that I haven't tried yet. When you use Wolf's side B dash, it generally acts similar to Fox and Falco except it is angled up, but if you hit the enemy with the very end of the dash, they will be electrocuted and knocked back for a very good effect. If you cancel the dash, does anyone know if the shorter end of the attack still shocks the opponent? If so then this technique would have INCREDIBLE potential for all sorts of applications.
