When/where to steep specialty grains in PM

So if I'm doing a PM BIAB method, and I'm using that Deathbrewer guy's method (mash kettle and sparge kettle, then combine the two), where/when should I steep my specialty grains? Should I just throw them in with the mash or should I steep them in my sparge water for 1/2 hour and remove them right before I sparge?

I'm guessing there are many ways to do this (as there always is with brewing) but I'd like to know how you do it. Please share.

Yes, all grains go in together.