Here's an option for you if you want to collect and incubate eggs, and another option if you want to find the nest without combing 3-4 acres of underbrush to collect the eggs.
Keep them penned until you find out when they lay their eggs. Go out every hour or so (couple of hours...whatever works for you) and see if they layed an egg. I went out at 10 a.m., then 11 a.m, 12...and so on until I found an egg. I did that for two days until I was sure she was laying at the same time every day. Mine layed her egg between (and I'm not kidding) 2:30 and 2:45 every day. It took about 3 days to get that info.
So, you can leave them penned until the egg is layed, and then let them out to free-range,
OR -
You can figure out when the hens lay eggs and hold them in the pen until about 10 -15 minutes before that time and then let them out. Be prepared to trek through brush, because the odds are she's going to go straight to the nest. Mine did. I almost had to run to keep up. Once I found the nest, I took several and left three (mark them so you don't pick up old eggs). Then I could let them out in the morning to free-range all day, and go pick up the newly layed egg from the nest at about 3:00 when they were long gone for the afternoon.
But be warned. I saw the male hanging around but even then it was nearly impossible to see the hen. It wasn't until I heard her in the brush that I knew where to look. The good news for me was that neither the male nor the female had a problem with me sitting quietly close by, but I didn't get too close or make any noise. I did get some evil eye at first.
At first I tried to follow mine until they stopped at the nest, but I never could follow them long enough to find the nest. I would have had to follow for hours, and I just didn't want to do that.