You would have to do a partial mash, but that is really not that hard at all.
Get yourself a pot, heat about 1.5qts of water per pound of grain you will be using to about 165 or so. Add the crushed rye malt and stir in well, keep this in the low 150s for the next hour or so. Pour through a strainer, rinse the now separated grains with some 170F water and add this to your process as normal.
It's really the same as steeping, you just have to pay a little bit closer attention to the temps and water ratios.