Hi there.. i would consider bring them inside if there's a heavy storm with a lot of wind. Other than that don't forget they are plants that usually grow outside, so they are able to withstand a lot of environmental influences.
If you see after a few days of rain, that they seem to show signs of overwatering (i.e. droopy leaves), then maybe i would move them inside for a recovery as well.
If you do have the chance to "assist" indoors with a grow lamp (there are some that fit into regular lamp-fittings which are meant for growing. I have 3 from the brand "Sansi", 2 in 15w and one in 36w and my chili peppers love being under them in the winter, when it's much too dark where i live) then this might be useful for a couple of hours a day.
happy growing!