I have had good success with late mash to mash out additions of roasted grains, but if you just want color, it's hard to beat the Sinamar product for that. I have done the cold steeping, which works well enough, too, but as you noted, you need to add more of the roasted grain to get the flavors from it...so, if your pH is right, you probably can just add the roast grains into the mash and be set.
Try it a few ways and decide what you like best. My last Baltic Porter had a late mash/mash out addition and I liked it very much.YMMV, of course.