I think the AI favors the alternate uses of Great People (Academies, Trade Missions, rushing techs, et c.) over settling them, but the AI does sometimes settle Great People. If you plan to try to kidnap them, watch for announcements about GP births and make a note of where they appear. If the AI does settle a GP it will probably be in the city that birthed it.
If you happen to have access to Shadows, then you can move one into a city and then inspect it to see what's there.