There is no way to help Casper. I tried herding the chicken to him in my first game, when I couldn't report back where it was, became annoyed at its refusal to move more than a couple feet in the right direction, and (since I had a recent save) killed it.

One of the chickens in the mysterious shrine area is white; that is the one soul forged with Casper (it may not be there before you talk to him).
When two creatures are soul forged together, killing one will kill the other.