You def. want them in the coop at night. I had the same problem with 4 newbies i added to my existing flock of 4. they all roam freely, and per the natural assimilation process, the older ones aren't that kind to the youngsters. So, the babes started roosting in the thicket along the edge of their pen at night. We retrieved them, put them in the coop, but one in a particular was stubborn, and the others kept following. The thorny, thick brush seemed safe enough, as the chix sat about 5 feet off the ground. However, after they'd had about 3 nights outside all night, on the 4th I was awakened to blood curdling screams: chicken. Long story short, a possum had found the babies and attacked one, others hid and resurfaced in the morning. All turned out to be fine after a rather crazy hour in the middle of the night.
The next day i did not let the babies roam, stayed in the pen. That night 1 of the babies got it already, and had gone in the coop on her own. The other 3 roamed the pen contemplating the bush, but we grabbed them and put them in the coop before dusk. Last two nights they're back on track, went inside with the others on their own.
Repetition is the key with chickens. They are creatures of habit. So if they start forming a bad one, some corrective repetition can often get them back on track pretty fast.