Around home, yes, I would attempt to catch the loose Equine, and either get it home if I knew where, or put it behind somebody's gate in any event. In a strange place, unless the animal appeared to be in immediate danger, no; I'd leave it to the locals. If I saw someone nearby, I would probably stop and tell them about it.
A neighbors mini "Henry" came to visit my boys last week. Easy enough to put an old halter on him and walk him the quarter mile back home. Not knowing where he came thru their pasture fence-line, I put him in their front yard behind the chain-link fence. I've herded their cow "Rosy" home, too.
Boots, I always carry a "catch string"; about eight feet of bright orange 3mm P-cord, in a neat coil in my back pocket. I use it at least as much as a regular halter.
Catch multiple loose horses? (Loose _tame_ horses, anyway.) First of all, don't get excited. Don't try to "walk them down", or bribe them, just stand quietly, not paying any overt attention to them. Eventually (and it doesn't usually take very long), they will come over to you to see what you are doing, and you can slip a catch string around someones neck. Doesn't have to be the Alpha, just pick a co-operative individual; greet him, catch him, and lead him home. The rest will generally follow. I'm always amazed at how few horse owners seem to know this simple procedure, and run themselves ragged chasing after a loose horse with a bucket of grain, a halter and a lead-rope. You can almost hear the horse(s) laughing