Has the hen been in quarantine for a minimum of 30 days? Are you certain it is free of disease? There are many a sad story that begin with an unknown element being brought into the flock.
Some suggest slipping the newbie into the coop after sunset, setting it on a roost for the night. In the morning the newbie is just there and the old ones are none the wiser...
Another way to do it, if you are concerned that either your hens or the new one might be overly aggressive, would be to keep the new one caged, but set nearby or in their run. The old ones can see her and hear her, but not get at her. After a few days she is part of the furniture so to speak and the cage door can be opened.
But most importantly, be sure that the new hens is disease-free.
Jenny