South Haven is a great spot to look for these to tame, especially in the bay in the middle of the island, all you have to do to tame one there is kill all the fish in there besides the megalodon you want (I suggest using a baronyx to kill the other fish with its stun ability) and then tranquilizer the one you want with a crossbow.
1. Get an ichthy with a saddle
2. Find a megalodon underwater
3. Kite the megalodon to shallow water with your ichthy
4. Tranquilize it from the shore or a rock safely
5. Make sure you don't keep shooting it after it is KO (I learned this the hard way)
6. Name it Bruce