Orphan lambs have no mum to take care of them and shelter them, so they certainly should have some shelter. A pig arc or a stable is ideal. If you can let them choose when to be in and when to be out then that's perfect. In general, so long as shelter (well-ventilated but dry and not draughty) is available, sheep are better outside than in.
I wouldn't run orphan lambs along with ewes and lambs, as some of the orphans will sneak about 'pinching' milk from the ewes. However, once all the lambs are weaned, then the orphans can run with the ones reared by their mums, of course. (But I'd want to be completely sure the ewes had fully dried off before I put the ewes back with them.

)
I know that a lot of rearers never put orphaned lambs on grass, and swear that they'll take longer and not finish well if they get onto grass. I don't have very many years of experience but I have reared 10 or more 'pet' lambs every year for the last six years, and all of them have had access to grass and all of them have finished fine - the majority meeting the requirements for the supermarkets, and eight of them going on to become perfectly good commercial breeding ewes.
So don't be silly soft and don't treat them like children, no - but do make sure they have adequate shelter and a safe environment, as they don't have a mother ewe to look out for them.