I have a nice big foaling stall 10'x14' so if the weather is rainy or cold when they are a few hours old, they can stay inside and still have room to move around. I do try to get them outside for a few hours if it is nice weather.
For the first week I put them out with a blankie on in a paddock with a run-in shed, no other horses around, during the day, and in the stall at night. Then if the mare is more dominant, they go out with the herd of mares (I only have 5 mares) during the day, I make sure they have plenty of room to move around. They still go in the stall at night for the first few weeks.