My characters are traveling through the woods. There is no dialogue, but I want to show that they are moving (I'm thinking like in the Gladiator when he's riding the horse home). Do I make it it's own scene and just say that they are moving, and then go to the next scene where htey are talking?

You mean something like:

START MONTAGE
Joe and Jill walk through the woods.
Joe tears off sweat off his forehead.
Jill takes a sip of water from her bottle.
Joe reaches for the branch, moving it aside, letting Jill pass.
etc......
END MONTAGE