Funny this pops up. I just got home from the LHBS and put this recipe together with some help.
First off, I'd put the oat in the sack with the rest of the grains when you mash them. My LHBS added some rice hulls and kept the grain separate for the time being from the other grains. The rice hulls will help keep from making a sticky oatmeal mess when you mash it. You can mash them all together in a grain bag though.
As for the coffee, add it loose, and pour the whole kettle into the bucket. After it's all done, the hops, trub, yeast and chocolate nibs as well as the coffee will fall out and most of it will settle. Rack to secondary, and add the cold press coffee, or whole bean coffee to the secondary.
As for the chocolate, I ended up getting powder, so I didn't have to deal with it. Keeps the oils out, which will help with head retention as well! I'd assume that the smaller the better to allow it to melt, because keep in mind you are added at flame out, so it'll be 200+ degrees... The chocolate will melt anyways, so smaller doesn't hurt anything!
I'm planning on racking on to chipped oak from an old bourbon barrel thats been soaked in bourbon as well! Should be great, and will let it age roughly till the holidays!
Good luck with it!