I've done it both ways; I have had success either way.
Now days I do a no-sparge mash, water in first, grain in after calculated strike temperature of water is reached. (after thermal loss to cooler)
I work the grain in using a restaurant sized potato masher (pictured below)...I don't believe there is a huge risk of causing hot-side aeration with the mixing that is typically required....or at least I can say I've not had it happen...