I would put them out and not worry about the heat lamp. I would worry a bit more about shade. At this time of year, they are much more likely to get overheated if they cannot get into shade. The more space they have, the stronger and healthier they will be. I introduce mine to the flock at this age.
I set up a safety zone, where there is feed and water inside the run. There is a portable dog crate, that they will instinctively go into ( a card board box will work too) near dark. I put it in the coop for predation SAFTEY.
Day 2-3 - I lift the fence a few inches off the ground, and put a pallet near by just slightly above the ground. Eventually they will explore out into the big girls. They may get a small chase, and can escape back to safety.
In a week they are accepted into the flock. I do keep feeding them in the zone to make sure they get enough.
Mrs K