When I bring the pullets outside for the first time, do I lock them in the coop for a few days? If so, then for how long?
When you say outside, what exactly do you mean? Outside the house into a run? or to free range? how old are they and what is the temperature like where you live?
I would lock them in for a week so they get used to home and know what home looks and smells like. Then you can let them out in the run for a week or two before letting them free range. That way they don't get lost.You may even want to keep them in the coop and run only until they start laying to make sure they lay in the coop in the nest instead of where ever.