According to the United States Census Bureau, the town has a total area of 0.5 square miles (1.3 km²), all of it land.
There were 222 households out of which 27.9% had children under the age of 18 living with them, 50.5% were married couples living together, 12.6% had a female householder with no husband present, and 32.9% were non-families. 30.6% of all households were made up of individuals and 14.4% had someone living alone who was 65 years of age or older. The average household size was 2.25 and the average family size was 2.78.
In the town the population was spread out with 24.4% under the age of 18, 9.0% from 18 to 24, 24.6% from 25 to 44, 23.2% from 45 to 64, and 18.8% who were 65 years of age or older. The median age was 40 years. For every 100 females there were 89.4 males. For every 100 females age 18 and over, there were 84.4 males.
The median income for a household in the town was $24,808, and the median income for a family was $32,000. Males had a median income of $25,972 versus $21,750 for females. The per capita income for the town was $13,525. About 15.4% of families and 20.6% of the population were below the poverty line, including 24.2% of those under age 18 and 15.9% of those age 65 or over.
According to Veselin Traykov's study of Bulgarian emigration to North America, there was Roman Catholic Banat Bulgarian settlement in Lone Wolf, with the Banat Bulgarians engaging primarily in farming.