If you're just using flavor adjunct malts, it really makes no difference. The advantage of a good sparge is primarily better extraction when you're doing real mashes. Especially with crystal malt, which contains already converted sugars in a crystallized form, a grain bag is fine for a steep. Mashing crystal malts is no different than steeping.
Oh don't give me none more of that Old Janx Spirit
No, don't you give me none more of that Old Janx Spirit
For my head will fly, my tongue will lie, my eyes will fry and I may die
Won't you pour me one more of that sinful Old Janx Spirit