The night's watch brought one in once, didn't they? Didn't Jon fight one at Castle Black?Also just thought of something. Last year Benjen took Bran and Meera to the Wall, but said he could go no further because of the magic built into the wall means "the dead cannot pass".
So this entire trio night be for naught if the wight spontaneously combusts if/when they try to bring it through the wall.