I do this often for beers with a large portion of dark malts. I cold steep the dark malts, and then add them 5-10 minutes before the vorlauf. You get much of the color and flavor, but may want to up the amount by half or even double. The advantage is that you don't get the burnt/acrid taste that you can get if you mash the whole time. My wife likes beers that don't taste like an ashtray, so that is the way we do it.
This would also work with cara/crystal malts, since not much happens in the mash with these. It would free up some space if you were doing a really big beer. Mash the base malts, steep the crystal, and add the crystal when you are vorlaufing if you have room, or once there is room in the mash tun as you sparge.