I have done this brewing a Schwarzbier. I would step mash using some of the roasted malt then transfer to the lauter tun, then add the rest of the roasted grains. From my experience you get all or most of the color from the grains with only a small portion of the roasted character. So depending on what you are brewing it maybe an option. Obviously if you are brewing a porter or stout and want the roasted character don't do it this way.
Rocky River Brewing Co.