There are a lot of good guides out there. For your first all grain I am assuming you are batch sparging.
IMHO, don't worry about doing a mash out. A mash out is when you rain the grain temperature up to 168F to help aid in dissolving the sugars. You would either add hot water to get to that point, or if you mash tun is on a burner, add heat to get there.
For sparging (assuming batch sparging):
Drain the wort entirely from the mash tun into another vessel. This will be boiled eventually.
Add half of your sparge water (depends on water to grain ratio, amount of grain, etc.) at a temperature that gets the grain up to 168F-170F. Stir like CRAZY. This is dissolving the sugars. Let it sit for a few minutes to re-settle. Drain. Repeat once again with the remaining water.
You should now have your pre-boil volume's worth in wort.
Example:
10lb of grain, 1.25qt/lb, mash at 150 for 60min.
Heat 3 1/8 gallons of water (10lb * 1.25qt/lb) to 165F. If putting into a cooler mash tun, make sure you pre-warmed it with a couple cups of boiling water. Add the crushed grain. After 60min drain the mash tun.
Note: If you have a kettle or a stove, have some boiling water on hand. This is good if you happen to fall short on your temperature. If too high, either stir like crazy to cool it down or add cold water / ice cubes.
In the mean time, heat up sparge water. Assuming that grain absorbs 1/8 gallon per pound, you will collect 10lb*1/8 gallon/lb = 1 1/4 gallons. Let us say you need 6 1/2 gallons pre-boil. That means you need 5 1/4 gallons more wort. You therefor need to sparge with a total of 5 1/4 gallons.
I don't know the exact math for what temp you need to be at with the water to get the grain bed to 168F with the sparge water, so this is what I do. I get the entire volume at or near boiling temperature, and then add as much as I need to get the grain bed up to the 168F-170F. This is good if you have a buddy to help.
Stir like crazy. This is important. If you don't stir after the sparge water is added your efficiency will be crap. If you think it is stirred enough, stir some more. This is where I got the biggest hit in efficiency when I started all grain. Let it settle for about 5-10 minutes. Drain.
Stir the remaining sparge water to cool it down to 168F-170F. Add it ontop of the grain. Stir like mad again. let it settle again. Drain again.
Now you should have your pre-boil volume, and it is ready to boil up.
Note: whenever you drain, vorluaf (sp?). This means to collect the first bit of running that have bits of grain in it and then gently pour it back on top of the grain bed so you don't get that husky stuff in your brew.