this has been the biggest pain for me. you've got to go to the four whores. Theres two in the mercenary camp, and two in bowerstone old town. interact with them and press RB to invite them for sex. BUT FOR THE LOVE OF GOD DO NOT HOLD THEIR HAND! If you hold their hand they wont follow you unless you are doing so. And if you try this with more than 1 whore, as i did, it messes the whole thing up.
If this happens the just lead them to a bed and have sex with them, go do something useful for awhile so they can all bugger off back to where they came from and start again.
So anyway, yeah, just use RB when interacting with each of the whores and they will automatically follow you. You can fast travel between locations with them following you, so that makes it easier. Get the four whores following you, fast travel to anywhere you have a free bed, and dont forget to wear a condom. Safety first.
Hope this helps