From my experience of growing azales from seed, I would try one (or both) of two things:

1. When soil was warmed, I would just transplant them to a suitable spot. Transplanting should not be difficult, they're still small. But "suitable spot" would be crucial. It should not dry out completely over the summer, but should never waterlog (that is, must be "well drained"). And acid soil, of course.

2. Instead of transplanting to another site outdoors, you could pot them up when they can easily be dug up. Crucial to have well-drained potting mix (mixture of something like 1/2 Promix, nearly 1/2 perlite, a little vermiculite maybe -- see suggestions below in posts on growing azaleas from seed). Mix should be acidic (contain some peat moss, not so much to be soggy). Place out in protected area with sun, but not too much. The advantage here is you can easily give regular fertilization that will spur growth so that you get more growth than you would just putting them in ground. Stop fertilizing mid-summer to harden off. You can then put them back out in the fall in "suitable spot" so they have enough time to put out some more roots (early September?). Mulch with leaves and stuff over winter.

Others may have more experience than I, but I bet either course would work. If you just set them outside right away, cottonseed meal is the fertilizer of choice. Work a handful into the soil where you've transplanted them.

Davidl, Thank you so much for your reply. I'll pot them up for sure, I still think they are a bit small for putting out in the spot I have in mind. Eventually I would love to make a hedgerow out of them along the north side of a 6' wooden privacy fence. I had to remove 5 norway maples and it will be a while before there is adequate cover from the sun for them.

I think Davidl gave you good advice...with my clay based soil, seedlings would have a better chance of developing a more extensive root system potted than transplanted into the ground. I might even be tempted to leave them containerized for a year or so - do you have a cold frame or protected place to leave the pots outdoors over winter?
(in this milder zone, even under the parent plant would give the seedlings a bit of protection from freezing)...or you could always sink the pots into the ground and mulch exposed parts with leaves or straw.

I'll have to pot them and sink them over the winter. Every zone map tells me I'm a zone 6, but every nursery in the area says we're a 5. I'm afraid a cold frame will just wind up a home for chipmunks or voles so I'll keep them covered with leaves over the winter. Thanks for your help.

I only didn't suggest trying to overwinter in pots in a cold frame because I've had lousy success doing that; killed a few promising plants one year. Sinking them and mulching well ought to do the trick and then allow regular watering and fertilizing as well the next spring and summer. Your seedlings may not be so vulnerable as real newborns, but everybody says to water seedlings with distilled water or rainwater.