I dunno if this will help but this was happening to me in the very beginning (the chars heading off in different directions).
The /follow macro was set up properly but I was passing the movement keys to other chars. I added the movement keys to the Do Not Pass list and wola!, they /follow'd nicely.

I'm not sure if this is the same thing or not but when I read "they run off in directions", it reminded me of the problem I had. I'd hit follow macro, they'd start following, I'd hit auto-run, then left turn then right turn and watched all 3 of my chars run off in different directions, 1 drowned and 1 ended up on top of a mountain.

I hope this helps and if not, Hey about those Red Sox!