When letting young chickens out for the first time, there are two things I like to do. First, I like to let them go in and out of a door into a contained run a few times. This keeps them from going far until they get the image of their coop door firmly entrenched. Any keeper will tell you that this step isn't really necessary; it's just a reinforcement for assured success instead of probable success.
But the second and more important thing I like to do is not let them out too early in the day their first time. I do it towards evening, so that they will in fact no go far, or long, until they want to go back in to roost. Sort of like letting your daughter go out on a first date; keep it short.
Then from then on, it's sure to be no problem letting them out whenever you want. Just know that when you let them out, they are likely going to stay out for the day until evening when they go back in. With that in mind, if you want them to lay eggs in their coop instead of out in the barn or yard somewhere, don't let them out each day until after noon'ish.
Good luck with it!