My daughter sleepwalks all the time (at least one night per week). Usually a loud “Kal!!! What are you doing?!?!?” does the trick and she’s back to bed. She is well aware that she sleepwalks, so when I do wake her from it she understands what most likely happened.
According to this article, it sounds like you are better off helping them back to bed than letting them continue to wander. This one says the myth probably came from the reaction the sleepwalker had to being awakened.