Your best chance of carving warm pelt will come from Kelbi in the Frost Islands.
If you don’t want to go to the Frost Islands, you can also find Kelbi at the Shrine Ruins and Flooded Forest. It is usually found in areas 11 and 13 of the Shrine Ruins.
You can also carve the warm pelts from Anteka, but this is only found on the Frost Island.
Once you carve your warm pelts, you will be able to create weapons such as the teddy bear as well as armors like headgear and masks.
Finding the carving materials shouldn’t be too hard to find if you follow the guide!