You can't do this on the web interface unless you're on the same instance. It's pretty clunky right now.
Correction: You can't do it if you are linked to their user page https://mastodon.social/username...that doesn't work if you're not on mastodon.social. And often I seem to find myself at these URLs and can't see if I'm following the person, and have to go through extra steps to follow them.
Which you can, regardless of what instance they're on.
Moving in bulk is also easy, using something like Debirdify
https://pruvisto.org/debirdify/