[X] Be indignant
-[X] "I did get a pelt, I'll show you. But you have to promise not to tell anyone else." Show him the Ferric Pelt.
-[X] When he freaks out over the fact that it's not a normal wolf pelt answer: "Well of course, If I want to get heroes to buy from me I can't have ordinary leather, I have to have something special."
-[X] Then explain our plan to become good enough to sell to heroes, and that once we know enough heroes and can find a good one, that we can tell him about the murder of our father and have him hunt down and defeat the evil hero that killed him.
-[X] If he objects to this plan, ask him if he knows of any other way to stop an evil hero that goes around murdering innocent craftsmen and burning their shops down other than to hire a good hero? And how are we going to hire a good hero unless we produce fantastic leather armor so that heroes want to buy from us? And how can we make fantastic leather armor without superior starting materials? It all makes perfect sense, but you don't want people to know your plan until you have a good set of products to sell first.
-[X] If he wants to know how you killed a Ferric wolf, tell him you bought a spell book that has an ice spell. You used it to freeze it's joints so it couldn't move fast, and then you put an icicle through it's eye into it's brain.
There, a mixture of enough truth to put him off, and give him a sense of our ultimate goal that will fit in with what is considered "acceptable". Will still think we are going to get ourselves killed, but at least our plan makes some sort of sense.