Yes, in the age of sail large battle fleets would have screening forces, usually of frigates but also of smaller ships (sloops, brigs, whatever was at hand). Their job was more in the role of ranging ahead of the fleets as lookouts and carrying messages back and forth, as well as playing a significant role in blockades (I wrote about blockades more here, if you're interested). The role of contemporary naval escorts is somewhat different, of course, with frigates, destroyers and submarines in an ASW role and cruisers in an air defense role. Frigates and smaller ships in the Napoleonic period were assumed to not play a role in fleet actions -- they wouldn't be engaged by the enemy unless they fired first.

If you're interested in frigates, I wrote a decently lengthy post here about how their design and construction changed over time. If you want to know how they were used in the scouting role, I covered that a bit here while talking about the run-up to Trafalgar.

edit: fixed a broken link