I'm assuming they are inside for the winter, not inside for floor time?
If they are only inside for floor time it's not a good idea to bring them into the warm house then put them back outside into the cold because the temperature fluctuations are not good for them.
They are nervous probably because it is all new surroundings in an area they have never been in before and all new smells etc. Put down lots of hidey places, tubes, toys etc. and they should explore more O0