I do something similar to the previous posters. We start letting them out an hour or two before they would normally go to roost. I have a chicken call (there's actually a thread on that), that goes something like "COME ON CHICKIES! - HERE CHICKIE, CHICK, CHICK!" - well, you get the idea. I'm sure one of my neighbors probably thinks I'm nuts. I also have a coffee can with some scratch in it that I shake when I'm calling them, or I bring out a pan of chicken mush. They are smart and will start to make associations with the scratch feed or any other treats you associate with their call. When they come running, I head to the pen and then toss a few handfuls of the scratch inside and - VOILA! - they all come in and I close the gate.
I couldn't believe how easy it was to train them. Like any other animal, all you need is a good motivator (usually food!) to reward them with.
I so love watching them catch bugs. We even had one pullet catch a small toad and go running across the yard with it hanging out of her beak with all the rest of the ladies in tow. It was one of the funniest things I've ever seen, but I'm sure the poor toad didn't think so.
Beth