This can be fairly tricky if your bounty starts to make a run for it. Find any wanted poster in the various towns (marked with a skull on your map). Accept the bounty and make your way to the bounty's location. Take out the various enemies but do not kill the red skull marked on your map, instead shoot out his legs. Once he stumbled quickly change to your lasso and wrangle him. You can change to your lasso by holding the and selecting it with the . Once you rope the bounty press and hold the and quickly hogtie him with the . If you're not quick enough the bounty will escape.
Pick up the bounty, and then place him on the back of your house. Make your way back to the wanted poster to claim your reward and achievement.