I've thought about installing a pet door, but really don't think my birds would try to go through a seemingly-closed door.
My husband used a Sawzall to cut a small "door" out of the back of the coop, leading into the run. He slapped a hinge on it to make it a proper door, but I still wanted it to be lockable from the outside. (In retrospect, I probably should have made it lockable from the INSIDE!) Even though the fencing is buried fairly deep and surrounded by all sorts of obstacles, occasionally something tries to burrow under, and I batten the hatches for a week or so. Just in case.
At first, he put on one of those cheap hook-and-eye locks, but I insisted we at least upgrade to the kind you have to slide back to open the hook up. The kids have some trouble with it some days, and it's not easy to open, but I prefer it. He thought I was being paranoid - till I described to him how my pet raccoon (way back in high school) set herself go free one night by simply flipping up the hook on the cage she was kept in and swinging open the door.