Well... bad news: My other three hens were furious when I put the new one in the coop. They managed to make peace and everyone slept upstairs in the coop last night, but the hens woke up just as ****** off. This bird is about half the size of my chickens, and she was getting picked on if she tried to leave the upper deck of the coop.
I opened the coop this morning to check on her, and she bolted. She flew straight out and made a bee-line for the wooded lot behind my house. On the bright side (1) she's been living in the wild her whole life, so she knows what she's doing, (2) the brush is so thick in the wooded lot that she'll be safe from hawks and dogs, (3) there's some old crap back there that she can nest in and (4) she knows where the coop and the food is if she wants to come back.
I'm going to leave a dog crate (the one I transported her here in) open and next to the coop with some feed in case she wants to come back.