Once they've been in the coop for a few weeks and imprinted it as "home," you can, if you wish, start letting them out of the coop to wander around your yard, and they should all come back before sunset. Is your yard enclosed with a fence? If so, this is easier.
Here is the tension
Your chickens will love being let out of their coop. They will soon kill all the grass that the coop is on, and they will love going around a yard with grass. BUT, what you gave them in freedom, you just gave up in protection.
What you gave them in freedom, you just gave up in protection.
Start slowly
So, I would recommend, especially for starters, letting them out on the weekend while you are in the backyard, doing things like grilling and hanging out.
Also, let them out in the later afternoon to start, so they are not out all day before they come home. Let them out an hour before sunset. If that works, maybe two hours. Many times we let ours out all day on weekends when we're around. Don't forget to close the coop at night after they have all come home.
If one forgets to come in
In the event that you close up the coop and one of the girls has forgotten to come in (this sometimes happens if they are immature or small), they will probably nest in a nearby tree or bush that night. You can search around with a flashlight. Also, when the sun comes up the next day, they should be hanging around the coop and you can try to scoop them up.