Definitely set up a playpen!
Once they have a taste of freedom they'll do their best to go off exploring on their own given the chance. They're inquisitive little fluffs and will get into everything. I let Custard play on my bed but never on the floor as he always seems to find big heavy things to crawl or hide behind and I have to try and coax him out with lots of treats.
You could either buy or make a playpen with some household objects. since they are determined climbers you'll still have to watch them as if they're left uninterrupted will find a way to get out and make a dash for it