I find if I do grain to water it gives me an extra chance to adjust my mash temp. In single infusion in an unheated vessel (igloo cooler) you have to account for the temp loss to the vessel and the grain. If you add the water by itself first, you can make sure you have precisely accounted for the vessel temp before adding the grain.
I also agree with the other posters that I find I have fewer grain balls this way as well.
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