The first thing is to keep them indoors for the first few days so they know where they live. When letting them out for the first time, I would put a harness on them and stay with them so they know where they live and then bring them back inside and repeat the process.
I always make sure my cats have a collar with I.D. on them in case they get lost. A few years ago I had a cat that got lost after I moved. If it wasn’t for his collar and I.D. he wouldn’t have been found by this lady 3 weeks later. He had lost weight and was very dirty but at least I had him back. You can also microchip your cats as well.
My current cats are indoor cats and both have collars with I.D.’s on them in case they happen to escape. My female cat almost got out of the door when I opened it. I wouldn’t want to lose them and a collar makes me feel safer for them.