To pen or not to pen.

Yep. They're powerful creatures of habit and like to sleep in the same place every night.

to hedge your bets, the first time or two you let them out, do so in late afternoon. They won't go far and will be happy to get back to roost at dusk.

Yes they will return to their run/coop to lay, eat, drink, and roost.

In my experience, they alway return to the coop/run. At first when you turn them loose, they will stay relatively close to the coop/run. The more often you open up, the farther away they will roam, but they always return to the coop just a bit before dark.

If you free range them, you do increase your losses from predators. That is nearly a perfect fact, that free ranging birds will get caught by either wild animals or other domesticated pets. Everything likes chickens.

To help lower the losses due to predators I do the following things:
I don't establish a pattern of time out, for example sometimes they are out at 7:00, sometimes not till 3:00. Some days I let them out, some days I don't.
I don't let them out on high wind days, or heavily clouded days - gives too much advantage to the predators.
IF I get hit by a predator, then I leave them in the run/coop set up for several days or even weeks.
I do have a mature (over a year old) rooster.

While these things help, you are bound to lose them if you free range long enough.

Mrs K

Good advice from Mrs.K. My only other thought is the more chickens you have the more apt they're to go in different directions. So even if you're outside with them and you have a predator attack it's very difficult to get them back in the coop when they're all over the place. Letting them out for shorter periods and less often will keep them closer to the coop.
I have a few right now that know how to jump the plastic fencing that normally contains them when I free range. I will find them all over the place...on the deck, in the garage, in the woods. Once our local fox gets wind, one will be a goner.