I see quite a few people have issues with herding these horned hellions! I'll describe how I do it so that you can utilize them for milk, to overcharge anytime with WX-78 (haven't tested, but it should work), or whatever!
A lot of people try the ol' "kill all except one, then move into a pen" tactic.. this works okay but this is quite time consuming!
How I do it: 1.) make a stone pen, at least 6x6 turf tiles, doored off. Then add another smaller stone area about 2x2 turf tiles with another door (this will be the smaller room to let you kill them easily without having to wait during nighttime). 2.) Place at least 1 salt lick inside the bigger pen (generally in the middle of the 6x6 area). The volt goats can't resist, these act like temporary spawn points. 3.) Now what you want to do is chase the guy towards the salt lick, it will then "path towards it." If the doors are closed, simply open the door while standing near it to prevent other goats from leaving. The volt goat will then path (ignoring you) towards the salt lick, then close the door! Just repeat this process as many times as you want to gather your own herd! Salt licks work not only on beefalo, but volt goats, and no eyed deers!
~I highly recommend getting the "No wall attack" client mod, so that you won't accidentally hit your own stone walls while chasing the little buggers around with your (insert weapon of choice).
~During hound attacks you may want to keep away from your pen since the doggies will start to attack the walls to get to the goats (leading the goats to escape!). The goats will only path towards the salt lick every so often, so if they wander too far from the salt lick, they'll go back to their original spawn location.
~To get the most out of your goats, make sure to get their life down to around 50 or less, then use the Morning star to kill them. This will give you 1 milk!
~A rarely used but possibly effective method against giants is to purposely overcharge your goats (away from pen) and dragging deerclops or whoever to it. These guys so some rapid lightning damage!
~Though armor helps against the goats damage, only waterproof stuff will reduce their elemental damage when overcharged.
This build is not for everyone and may take some practice to perfect. These goats are very wily, so make sure to keep at least 1 door closed to prevent their escape (even without being overcharged they can sometimes path right by you without fear so beware)!