IF you have got a barn space for them AND she will follow you (when you hold the lambs) I would have them inside for a day or so, especially if it buckets it down. That said North Ronaldsay sheep are probably used to a bit of rain...
I would just think - do you stress the ewe by bringing her in? Some of mine prefer to be inside, and some will not follow me/lambs inside even in a snowstorm, so whatever you ewe does?