I do a quick mix, mill, then mash. I'm fairly sure that between the milling and the mash stiring the grains get well mixed. I might be more cautious if there was a lot of grain with no diastatic power, like unmalted wheat.
Grinding separate would probably work, though some grains are harder and once I heard a complaint that chocolate malt would gum up a mill. Not sure if that's true, but mixing with base malt seems to solve it.