They stay really close to the box every time I take them outside. We started by taking the whole box outside, but only letting one or two out at a time. The ones that were out of the box never went far, so we started letting them all out. They really do stay close!! One might stray a little farther than the others but then they quickly all flock together again. The only problem we had was when one of them made a mad dash to a "bushy" area and 3 others followed. The rest quickly joined them. They were a lot more difficult to catch that time, so now my daughter and I have gotten pretty good about standing between them and the "places" we don't want them to go - at least not yet!
As for getting them back in, we just pick them up one or two at a time. You can tell when they start getting tired and they are really easy to catch. One of the little tiny ones - Gypsy - is super fast BUT she doesn't want to be out all alone, so if we catch the others and put them in the box, she'll run to the box trying to get in all by herself. My son who is 5 years old has become a real pro at catching chicks - they really like him and will generally let him pick them up almost any time. So his new nickname is "chick magnet."