I've started experimenting by making my own extracts. First hazelnut, and now cashew and pecan.
With all three, I roasted until they started to taste like you think they should taste, then dump in a bottle with vodka and wait.
Hazelnut and cashew are pretty awesome, the vodka has soaked up a lot of flavor. Pecan is different, tasting that vodka leaves your mouth really dry, and is much more oily than the others.
I'd suggest making extracts, then adding extract at bottling time. The other reason I'd suggest not adding nuts hot side is that if the oil is actually a head killer, boiling it might mix it in with the wort. Adding nuts after cooling, you might get an oil slick on top, but you can just rack from underneath. If your going to try adding nuts to your brew, the two things that will help get flavor out is alcohol and time. Increasing either of those will help draw out alcohol soluble flavors.