How would they have done so?? Jesus' transfigured body could walk through walls and locked doors. Disappear from one local and immediately appear at another miles away. Methinks the Romans might have had just a "wee" bit of trouble hanging onto Him the second time around.
Ancient Egyptians called that sort of thing "Ba" and "Ka"... That sort of thing generally provided ancients with the functions which cell phones and things like gotomeeting.com provide us with today but, by the time of Christ, a number of centuries had passed without anything like that being seen and people were turning into atheists and evolosers. The best place to start on the topic is Julian Jaynes "Origin of Consciousness", at least as to how the thing worked. Jaynes of course viewed what he termed 'bicameral' phenomena as 'auditory hallucinations' of course since he lived in an atheist/evoloser academic world; nonetheless as the original post here notes, there is sufficient historical evidence to view such phenomena as real.