Really? Huh. I guess I just assumed that since they gave you another horse on the other side, that it wasn't possible. The magic teleporting horses are pretty funny. All the way on the other side of the map? Just whistle and he'll be there in like 10 seconds!
The only thing I can't get the hang of in this game is the lassoing. It took me like 15 fucking minutes to rope a wild mustang the first time around. I tried to take a bounty target alive, but I gave up with the lasso after like five tries and just shot him