The way we do it at JSU: Gamma Rho Chis knock on the door of the building (we don't have houses, so rush parties are just set up in random places all over campus), the sorority opens the door, and the PNMs come inside. Once everyone is in and the door is closed, the door songs start. We're not allowed to go outside the building to do door songs, but once the girls are inside, we can do them. So that's what we do.
ETA: We do entrance and exit songs every day except Pref. For Pref, we just play soft music in the background...or at least that's how DZ does it. I'm pretty sure the other chapters do something similar.