I don't understand do you want to roast the wheat grains yourself?
You can pick up roasted wheat at your LHBS, just add it in your normal mash and it will impart a bit of a roasty bready flavor, it was pleasant in the last beer I used it in. Also will add a bit of color depending on how darkly roasted it is.
I have only done that twice. The first time was in a 10 gal cooler and it was PURE HELL come sparge time. Suffice to say that I finally got it unstuck after what seemed like forever and it made me wait for a year before I tied 100% Wheat mash again. Second time was a BIAB and it went of with out a hitch. Of course there are no sparing problems to worry about. The beer was fantastic.
You can add rice hulls, if you are having problems with stuck sparges, it can help when using things that are finer milled, or rye and such. What is your MLT construction like? Did you use a braided hose? A manifold? False bottom?