I let mine 'free range' under direct supervision. Sometimes I'll clean stalls while they free range. I am never far and they aren't out of sight.
Many a time I've taken the gang on walks, sans leashes. They'll follow me wherever I go. It gives them a chance to run and play, plus eat whatever weeds and brush they want. I'll often find a nice place to sit and just watch them do their thing (often I end up with one or more trying to flop in my lap after they've filled up on browse).
Goats learn where home is. And if you keep a pocketful of treats (and give them said treats during their time out), they'll come running if you call them.
If any of my goats get startled, like by a bird flying up out of the grass, they run for home or me, whichever is closer.
I used to let mine free range, but now I Have bucks and my mom is PISSED about all her plants that they ate LOL. I would call them in with grain a couple times a day just to keep tabs on them, took them a few times to learn to come hauling butt when I call!
My goats are trained to an invisible fence system. I have it set up so it keeps them OUT of where I don't want them (garden, chicken coops, a loop around the house, etc). Otherwise they are homebodies and don't go far in their free ranging as there is A LOT for them to browse on around here. When I am not home they are kept in a secure pen to keep them safe and out of trouble. This has worked really well for us here and it only took a day to train them to it.