I just took my first try at this one, though a 5 gallon batch. Didn't have roasted rye available so I got a pound of flaked rye (plus I had a half pound of leftover roast barley) and stuck it in my drum coffee roaster. A couple ounces fall into the chafe tray and didn't roast, could have been a touch darker though it hit the max time the machine allows, a split batch of 1/2 lb each would get it a bit darker if I do this again.
If anyone else needs to do home roasting you could try using a hot air popcorn popper or a large stainless bowl and a heat gun, these are both simple commonly used devices for coffee.
I also cut the pale malt down to 18 lbs instead of 20, but my efficiency must have been horrible, came out at 1.094 instead of in the 1.120 ballpark I was expecting. Mashed with 6 gallons, temps were 146-148, iodine test looked good. Then did 2 batch sparges with 2 gallons each, ended up with a little over 7 gallons total, boiled down to 5.5. Even so, that's still a high enough gravity for me.
Made about 700 mL of starter with 1272, when I woke up there was quite a mess, even my blowoff needs a blowoff.