You can save them already, actually. If you speak with them, they will follow you (not all of them though). If you lead them to the exit they'll vanish (and are counted as saved). You get a few coins for it, which can actually sum up to a good sum if you repeat it at an easy nest.
Sadly, their path-finding AI is rather bad, so leading them through more complex caves leads to them getting stuck so it's rather tedious.