Depending on the brand, several breweries do actually add nuts to the brew (wish I could remember the brewery that started doing this, it's in the state where the Hazelnut is a state symbol/food or something along those lines that is ridiculously obvious but slipping my mind at 430am while at work).
If you wanted to add the flavour in, either a powdered nut (fat removed) or an extract I think would do best to keep the oils from effecting head retention etc.