I'd house them - maybe even in separate pens when small, see below. Then there's no way any ewe is going to let a fox into a pen with her whereas if the lambs are separate and in a corner I suppose it's just conceivable a fox might grab one. Much easier for ewes to defend the lambs collectively if they've got walls around them than out in an open field.
My lambing system is as follows.
In mothering up pens for 3-4 days. Out in the large grass holding pens with access to the main barn, or just the main barn, depending on weather, for up to another week, out after that. This is largely because the weather here is so foul but it also helps keep them safe.
I wouldn't put tar on the lambs, as you say, it might make the ewes take against their lambs too.