I have mine outside as much as possible.
You have to worry about predators first off.
Raccoons, possums, hawks, ants, ect...
So have them in a secure enclosure.
Your weather will really determine if they can be outside though.
They will need to be able to warm up enough during the day, and not get to cold at nite.
Adequate shade is necessary for them to cool off if it gets to warm.
Misting/raining them when it gets very warm is good to cool them off as well.
Having them outside is a great thing in my opinion.
Mine act and look completely different when kept outside, much healthier, and more "wild".
D3 supplements are not needed if they are kept outside all the time, as they will receive enough from the sun.