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.