There are a couple of ways you can go with this. Crystal malts are already converted, so you really don't need them in the mash. Most homebrewers just chuck them in with the base grains, cause its easy and fewer steps. Gordon Strong and other have suggested it is best to steep them and add the resulting liquor into the boil kettle. What others on this forum found, however, was that they do indeed convert further in the mash so I think it is better to mill them with the base grains and pop them into the MLT. Gordon's point might be valid for some grains, like really dark ones. You could cold steep them and I think it may reduce the harshness you sometimes taste with, say, roasted barley. For crystal, I would just chuck in the mash and forget about it. It's gonna make beer and it's gonna taste great!
Cheers!!