Well, if it seems to like you a lot, there’s nothing wrong with asking if it would like to be a part of your team. That is to say, assuming that by “travels,” you mean you’re a trainer as well, show this pokémon some of your other team members to help it understand what a poké ball means and what being a part of your team would entail. Then, ask it. If it seems excited by the prospect of being caught by you (and given the fact that it seems to like you, I have no doubt it would), then go ahead and capture it. However, if it seems hesitant or resistant to the idea, then no, it would be best to simply let it accompany you, at which point the best you may be able to do is protect it on your journey.

I will say, though, that I highly encourage you to try catching it if it consents to that. This pokémon, if it is indeed what I think it is, is extremely rare to the point where only one free specimen is known to exist. No doubt it would need a caring trainer to keep it safe, and in any case, the more trainers are paired with pokémon like these, the more we researchers can glean an understanding of those pokémon by observing the trainers’ experiences with them. In other words, catching it would provide it with many tools for survival and allow us humans to learn more about it in the future. It would be what one may consider to be a win-win situation. Assuming, of course, that the pokémon agreed to be captured.