You can only do this once you've obtained the lasso from Bonnie - this is in one of the first missions. To get the trophy, you need to capture a woman and carry her to the train tracks, lay her across the tracks, and then watch as a train kills her.
To hogtie someone, select the lasso and then then carry out the same actions as if you were shooting them - target with
and throw the rope with
. Keep your finger on
and get close to them, then press
to hogtie them when the prompt tells you so. You can then carry them with
and put them on your horse.
You can see where the train is on your map - so ride towards it but make sure you leave yourself enough time to put the woman on the track.
You can do this without impacting your honour by waiting until you find a bandit ambush - from time to time you'll see a wagon by the side of the road with a woman waving from it. When you get close to help, the bandits will jump out. Kill them all (using dead-eye) and you'll see the woman will flee, with her marker on the map becoming red. If you catch her you can kill her on the tracks without worrying about whether you're in the wrong.