Outdoor to Indoor

I'm a soil grower!
And I've found that starting my babies outdoors until they have a few sets of leaves and then finishing up by pampering it indoors produces a nice thick stem and a big, tough plant.

Has anybody else done this, what are your oppinions on it? Anyone know of any risks from changing environments?
Is it even worth starting them outdoors?

My Brother actually did this year with about 5 of his plants, And I tottaly see why you would do it cause they were definatley nice looking little plants. I've heard that it helps the plants build immunites and stuff. I also think that the only downside would be a slight stunted growth period from the change in light. but that shouldn't be long if at all. But im no pro or anything.