There is a point in doing so and there is an easy way to do it, however you will need plains crops to feed the lox(es). Thus you need a farm in the plains.
So incase your interested:
Build a giant deep pit and make stairs going into it, lure the lox down the stairs and they will destroy the stairs, you have a pen with lox(es) in it. Feed and hide until tame and make the stairs again to take them out for a stroll.
They are apparently so stupid they will go down and destroy the stairs, entrapping themselves and you can jump out.