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Note: the gray horse only follows the "come here" Better Horses command. When he's "full" I get on the gray horse and the pinto horse carries the full load off to Markarth for me, while I still have the gray horse to ride and haul loot. With the Better Horses mod you can use the saddlebags on the horses, so now I load up the pinto horse first.
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If I get onto the gray horse, the pinto immediately turns and heads back to Markarth stables, where I can pick him up later on. If I only ride the pinto or walk/sprint on foot, I can keep both horses with me at all times. At some point, the gray horse re-spawned, probably back at the beach, but still must have an "owned" switch turned on and eventually he caught up with me on the road and kept following me, even thought I was riding the pinto. Eventually he got killed (for the third time) so I bought a pinto ponyIn Markarth I also installed Better Horses mod. When I started my current game I first went to the NE coast and picked up the free gray horse on the beach just south of Winterhold. I have two horses and both follow me - it was entirely accidental but it continues to work, so maybe others could use this method, too.
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