I do this for small PMs. I use a 5 gallon paint strainer bag to hold the grain. I stretch it over a orange Homer bucket, mill the grain right into the bag, tie it up, and drop it in the cooler which has my mash water heated to 14*F over my target mash temp. Slap on the lid, set the timer for 60 minutes, and go do something useful. Works like a charm. When it's time to sparge I heat a gallon of water in my kettle to 175*F and drop in the grain bag, let it steep for 5 minutes, tea bag, dump the grain and pour the contents of the cooler into the kettle. I calculate my mash efficiency is 75% with this method.
This week I'll use this exact method for preparing a starter wort from grain.