I prefer to use pecans in porter as it seems to be more complimentary to that style. I use 2 pounds. 1/3 in the boil, 1/3 in primary and 1/3 in secondary. I won't say I "roast" the pecans, but I put them on brown paper bag lined cookie sheets and heat to about 225 degrees. I then blot and stir them for as long as I can. As I fear "acrid" or burnt flavors in porters, I monitor the pecans closely. A fair amount of oil comes out of the nut meat. Finally, I add a dash of lactose to the secondary for sweetness.
After all of this, the head is still nothing to write home about, but the flavor is insane. From experience, I've noticed that nuts from the boil impart flavor to the wort that indeed goes away, but I put them in at the boil anyway.
It is my all-time favorite autumn, deer hunting, campfire beer. Sweet, black and strong.