First off (as the old sages on here will tell you), RDWHAHB.
As for the grains, yes. Grains are supposed to be steeped (though 30-40 minutes would run the risk of extracting tannins) and removed from the final wort. As for pumpkin, I can't say since I've never done any sort of gourd-related ale, but there's a lot of pumpkin ale threads popping up lately. Check the search function!