In order to ride a boar you must complete "The Boar Hunt" quest, which can be started by talking to a resident in the shopping district. After defeating the boar you were sent to hunt, you will receive a Boar's Tusk, which will allow you to summon a boar to ride.
To move, tilt the Left analog stick in the direction you want to move. Hold X to dash. While dashing, you can hold L2 or R2 to drift, or skid, in the direction you want. This is useful for turning corners quickly, so utilize it whenever you can.
The Shadowlord employs Shades in the shapes of Boars who wear armor and are highly dangerous. They seem to possess regenerative abilities.