No they will not follow you :(
Also, I dont think this solution with harpooning them from a boat will work. They will become frightened and run/swim around, draining your stamina.
Make a ramp to the boat and try to push them in. And don't clutter them in... transfer them one by one at the slowest speed. This is what i did, but it wasn't a big distance.
If you run into a serpent, they will go agro and possibly destroy your boat or just jump off the boat and you will have to leave them in the middle of ocean.
You are risking losing them no matter which way you decide to transport them. So plan your way carefully. Stay close to the coast, but not too close. If you must sail over the ocean, wait for nice weather and do it only in daytime.