Or if it does run just get on the highwind with it and get off at the ranch with it, simple.
Should you be riding one of your own chocobos, you can safely dismount it without the chocobo leaving on its own.
Should you wish to enter the Highwind with a chocobo, just be on your chocobo and enter the Highwind as you would normally still sitting on the chocobo.
After you were talking to the guy at the Chocobofarm, and renting the stables, you will have the choice of bringing the Chocobo to the stables, or let it free….(after you caught it of course) 🙂