It is the "leaping about" with a heat lamp on that sounds quite unsafe. Once the lambs are feeding fine, are dry and out of drafts they do not need any heat lamp at all. A heat lamp is only for the first few hours and only if they have been compromised at birth - when they are damp and maybe slow to get colostrum.
I am pretty certain your lambs will be fine without the heat lamp - the ones outside don't have one!