Hee, hee, sorry your post made me giggle. I remember the "joys" of trying to shepherd the wee things indoors. We had our first lot just before those bitter winter nights of a couple of years ago. Mine were in a relatively long run and had to use a pole to try and reach them ..... one in, two out, kind of job.
In my opinion, they will be fine left outdoors at this time of year and you will probably do more harm than good trying to catch them .... quite stressful for quail. As long as they are feathered and 4 weeks or so of age then they are quite hardy things. My adults survived -20 outdoors .... though I did cover the runs and coops at night.
Real danger would be predators. My runs are wired on the floors. Rats etc. WILL dig under and take them.