Too much heat..(heat lamp) can cause this feather loss. Once they are out in the nice warm sunshine, they should fill in. You will see funny little pin feathers coming in where the baby fuzz was. They look a bit awkward for a while. Not only are there ugly ducklings..but, ugly chickies too.
You could put them out in the day, and then back in at night if you are worried, but don't use a heat lamp. Not sure how big of a container they are in, but I am thinking go down to a 60 for them .. at night. Then, down to a 40 in a couple of days. They will get used to it pretty quick, they are older. Then they can stay out at night without heat. I'm thinking Arizona is staying pretty warm at nights by now? We are in the 40's at night. My little Bantam 3 week olds are outside, with the light bulb, but, they have an open front to their hutch. If they are chilly, they will get under it at night.