And I use this to my advantage too. Knock out 2 thralls at the same time, bind one of them, run a lot of meters, release it, and go back to the other, so I can drag 2 of them with less than twice the time it would take normally.
The only problem is as the OP describet, they bury themselves underground, so I have to run out of range, and back (sometimes more than 3-4 times to see the slave again).
But nowadays (~1 year) slaves disappear IMMEDIATELY after you knock them out, so hold a rope in your left hand and grab them fools immediately as @MarcosC said.