Sometimes they do, but sometimes they don't. This is most noticeable when they are following me and I switch from wheat to another item and back to wheat. Does anyone have any idea what causes this?
For an animal to follow you when you are holding wheat they have to face you. This means their body has to be pointing straight at you for them to "see" you and then they'll follow. I find that just walking into their heads seems to get their attention.
You have to keep the wheat in your hand the whole time. If you switch they lose interest and go back to wandering aimlessly. Be careful not to run too far ahead and watch so that they don't fall into a hole or miss a jump.