I'm not sure, but I used 2 block fence gates.

How high does the fence need to be? Will they jump over 1 block high fences?

I had to build dirt walls to corral them back out, which took forever and would've really bothered me if they weren't so darn cute.  I'd definitely recommend fencing them in when they're growing up to avoid this sort of thing in the future.

I've yet to start my Fluffalo herd but maybe:

Hold up some wheat see if it follows? 

Build dirt walls to push it out?

How can I get the Fluffalo Out of My House?!