Source: Warhammer Fantasy: 4th Edition

Moving Characters
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If a character is travelling on his own he is free to move as he wishes. He must take into account any penalties for crossing terrain and obstacles as normal, but he does not have to turn or wheel. So if a character wishes to move a fraction of his movement distance, turn, move a little more, turn again, and so on, he can do so without penalty. This doesn't mean the character can charge an enemy in the rear if he starts his move in front of it - he must still obey the normal rules regarding flank and rear charges.

If a character is travelling with a unit then his movement will be dictated by the unit as a whole. He simply moves along like an ordinary member of the unit. If the character moves more slowly than the unit then the whole unit will have to slow down so that he can can keep up!