I'm not 100% sure how to go about properly building a tank. I am on an aquifer. I might have a level I can dig out though. What would up my chances of any whales that happen by swimming into any locks I make?
Aquifer will complicate things, but it shouldn't be impossible. If you've got 1 layer, you'll probably have to work within that, or work on mining and walling off a large section within the aquifer to use.
Making oceanic traps is very hit or miss. The only really good way to improve effectiveness is to make them larger and try to incorperate flying-trap tactics as best possible. Now, you can make more effective traps if you want to pump magma up to the surface and do some oceanic walling, but I'm thinking you want to avoid that level of mega-project.
You could also drain and dam the ocean; that would allow you to create choke points that would have a lot better chance of working. Again, you're looking at mega-project level stuff to do that.
EDIT: I completely forgot about the coast-edge pathing trick. Yeah, that's your best bet right there.
EDIT EDIT: Another thing that worked for me in the past was to embark on a small peninsula and creat a multi-level channel across it (each level individually sealable and drainable, that way you can trap all levels). This was rediculously effective a few years ago when last I tried it. Probably for the same reason that the coast-edge trick was so effective.
Can whales be transferred safely between cages while wild without attacking or air drowning? I will have to move any whales to the same cage.
Unfortunately, they cannot be safely transferred. The reason they stay safe in cages after the water is draines is that the animal's status is essentially frozen to what it is when they go into a cage. So if they're breathing happily, going into the cage maintains the breathing. If they're suffocating/air drowning, they inherit that status going into the cage and die shortly after.