If I discard an action card to follow a COG, do I need to follow him for the full movement or can I stop in an area even if he is still moving?
I think that it is possible, because it sounds something equivalent to the rule that I can start to follow him even if he starts to move in another area and then pass in mine.
If I discard an action card to perform a guard action shooting to a locust that was in cover and is going to perform a movement, do I need to take in count the cover?
Following allows you to end up in the same space as the COG you are following.
You can interrupt a locust's movement while using guard. So as the locust comes out of cover to move, you may then play your guard card.