I did a pecan porter awhile back that turned out quite nicely. Really need to get around to making it again.
I took 200g of pecan halves, and crushed them up a bit. Not too fine, just a bit of time with a rolling pin. I then threw the pecan halves on a cookie sheet lined with wax paper (don't recall what the wisdom was with the wax paper, but there was SOME reason for it), and threw them in the oven for 20 minutes@275F. I'm not sure if this time was optimal, but at the very least I think the temperature was right. After that I threw them in at the start of the mash, and they did the job from there. I would highly recommend you use them in the mash as well, as I don't think using them at a later stage will be beneficial. Yes, they were oily (incredibly so when I took them out of the oven), and yes they killed the beer's head retention, but I consider it to be a worthwhile sacrifice. Honestly I don't think there's any saving it doing this kind of thing; pecans in particular can just be so damn oily. The flavour was nicely balanced, so if you want a strong nutty flavour I'd suggest you increase the amount you throw in, and if you want it more a background note decrease it.
I'm going something similar with hazelnuts in a month or two; if this thread is still kicking I'll update it on how that went.