The Farmer mentioned that a Yak would be useful to produce wool. The wool could be used to craft warmer padding kits and armor that protects against the biting winds.
To tame a Yak, you must first craft food baits. Craft or obtain at least 3 Yak baits to continue.
Tame A Yak
Now that you've procured some Yak food bait, you have to search for a Yak!
There is a spot marked on your map where Yaks can be found, but you can complete the quest anywhere.