You need to teach chicks to go inside at night if they don't get it immediately. Don't just leave them out in the run to fend for themselves, but don't chase them down and stuff them inside. It defeats the learning process as it causes unnecessary stress.
A little night light in the coop for the first week is a big help. Some chicks don't recognize the coop as being the safe place they started out because it looks so different from out in the run. Some chicks are also a lot more reserved and hesitant to go into any new place that's unfamiliar to them.
You may need to get inside and coax them in using their favorite treat. Wait until it's getting dark, but there's still enough light for them to see. This doesn't take long. They're usually going in on their own within just a couple nights of being coaxed in.
