Depends. Are you using malted oats or flaked oats? Malted oats need to be milled (on a very tight setting, they are long, skinny, and slick). Flaked oats do not, in fact, they may gum up the mill if you try.
You can use store-bought General Mills oats or choose the specialty Golden malted oats if the brew shop carries them. Just heat and soak the store-bought oats in hot water, then add to the mash. The specialty oats may or may not come pre-cut and milled so they will need to be ground or crushed before mashing.