You should wait until they tap roots are about 3/4" long before you transplant them into what ever grow medium you are using for seedlings. You should only burry them about 1" deep and leave some room to add more medium once they have sprouted and stretch. That's planning ahead incase the stretch too much.

You are in the seedling cycle at this point and you should stick to cool white fluorescent lights for this part. Vegetation cycle is fine with HPS as long as you have one of the enhanced spectrum bulbs like the Hortilux.