Some different ideas:
removeRemove the baseboard water heater and replace with electric, thereby creating it's own zone.
Set temp to 50 or some other low number--just enough to keep pipes from freezing-- as Tester101 points out, ifIf the only pipes in this room were for the radiator, you wouldn't even need to set the heat, as there are no more pipes to worry about.addAdd insulation to the mudroom
keepKeep mudroom door open when using wood heater
spliceSplice your pipes and add the mudroom baseboard to one of the other circuits that will be running even when wood stove is on (basement, likely).