They've stopped being afraid of my hand, and I'm trying to treat train them. the problem is, I've never been able to actually have physical contact with them-I've never been able to pet them or pick them up.
So they were terrified on Tuesday afternoon, but by Thursday morning they're already this tame? That's really fast progress!
I've had plenty of chickens that were difficult to catch or pick up, but easy to manage. They would come to me for treats, and would follow me if I held a bowl--if they were out, I could lure them back with a bowl of treats, and they'd go right in to eat from it.
I really want to build some sort of thing for around the coop-maybe just 2x4s and some netting? Not to be predator proof, but just as a safety net if they get out
It's really not very important, from what you say of how fast the chickens are settling down. If they get out, put a treat in the pen.
Then walk away from the chickens, and circle around so they are closer to the pen than you are. Walking calmly, herd them back toward the pen. Don't rush--pretend you have lots of time.
Herding chickens works as a way to take them for a "walk" or let them forage a bit, too. Just watch what they do, and herd them back the right way if they wander off.
And, if you cannot get them in any other way: open the pen, wait until evening, then close them in after they go to bed. Really, it WORKS. They've already slept there for two nights, and every additional night will strengthen their new habit of sleeping in this place.