The quotation about Soapy's "hibernatorial ambitions" refers to his plans for the staying indoors during the winter. These plans are not grandiose; rather, they are quite simple.
A homeless man who sleeps on a bench in Madison Square in New York City, Soapy notices that the winter season is approaching and he will need somewhere besides a bench in a park for his bed. With wry humor, O. Henry writes that his aspirations for "hibernating" are not those of the upper class, who may sojourn on a ship in the balmy Mediterranean Sea, or in Italy. Instead, he merely hopes to find a warm bed indoors.
In Soapy's opinion, the Law is more benign than Philanthropy. For, charitable organizations expect him to bathe regularly, then there are examinations of his conscience and where he "went wrong." Further, these organizations try to reform his character. But, if he is incarcerated by the Law, there is no attempt to delve into his soul. His privacy is left intact. So, with the intent of getting himself arrested, Soapy ventures forth with his "hibernatorial ambitions that are not of the highest."