For Sukkot, it is customary for the candles to be lit in the Sukkah. For Shabbat during Sukkot, I have seen mention of a practice where the women lights the candles in the Sukkah and then a man (who has not yet accepted Shabbat) carries the lit candles into the house. But in all honesty, I fail to see the point in that whole procedure, because the Shabbat candles are lit at the table in order to enhance the meal. What’s the point of taking them away before they serve their purpose? In a case where one is concerned to leave the candlesticks in the Sukkah in case they will get stolen, I would recommend using inexpensive tea-lights or similar.