I used traditional stone, made a double wall with an air gap so they couldn't fight anything on the other side. They hit hard but you can just walk around with your hammer ever now and again.

I've heard of people digging pits and/or raising ground.

Put down stone walls araund him, trow in some food and move away till it gets tamed. It takes a while.
Double wall works.

I got a huge stonewalled pen-area, with a castle in one of the walls.

Its almost as they free roaming and every night stuff spawns inside and steamrolled. Quite entertaining.

I utilize 3 methods to see which is best.

1. The Taming Pit: my first containment system of a large/deep pit with a ramp closed off with a stone wall. I built the ramp after taming them. I aggro'd them and ran up to the pit, harpooned it, then dragged it down into the pit for taming. I did that twice to start all of my future stock.

2. The Stone Enclosure: 2nd pen of large stone segment wall of ~ 9x12 floor units.

3. The Open Range: just outside the Stone Enclosure, a Lox escaped and I left it. I pushed out a mate and they've been reproducing in a Meadow pasture ever since.

all 3 work fine, however
the pit needed a lot of pickaxe work in the dangerous Plains biome to create

the stone enclosure needs periodic repairs due to Lox seemingly sticking their heads thru attempting to leave??

the open pasture allows them to run away[as calves] from enemies and become 'lost' away from feeding area, just as wolves do but not a bad...

Easiest for me, definitely sure it isn't 'best' or whatever but works for me because I like effectiveness over pretty aesthetics --->

1. Create a double stone wall square pen to contain the initial Lox or pair of Lox you bait to follow in (obviously place last 2 walls after they enter)

2. While the Lox rampage around and attack the walls, run around the outer edges raising the earth to about 1 or 1.5 wall in height, that's all you need. May need to repair the stone few times while doing this, depending how fast you are.

3. At this point your temp Lox taming pen is done. Raised walls are invulnerable and the 1 to 1.5 height will prevent them getting out while taming. Toss in cloudberries and stay in local area for taming hearts to trigger but not so close it enrages Lox to keep attacking walls.

4. After they are tame, you can build whatever pretty pen you want. They are so big you need quite large space relative to boar/wolves for them to breed unless you do the youtube versions where they drop babies down from a trap pen above. I just do like a 20x20 square to get 8-10 breeding at a time.

You don't need any containment to tame them. Just throw down a pile of cloudberries around a herd of lox and wait. You might want to find/build a building nearby, since the planes at night can be dangerous.

After that, you don't really have to contain them if you take them out of the plains, although they may tear down trees, etc when they stomp on things that might wander too close.

What I did is made an enclosure with 2x4 block walls off the side of my main castle building. I have similar, but smaller enclosures for my boar and wolves, as well as another open area. These three areas wrap around the lox enclosure to provide a buffer so that the lox don't start pounding the wall every time something walks by. So far it's working well.

A pit probably works best but then the problem is getting the Lox out if you want to ride it.

raise up stone walls with your hoe.