First of all, +1 to baking the oats and steeping them with the specialty grains, but I think a distinction needs to be made here between "partial mash" and "steeping specialty grains." They are sometimes used interchangeably, but I believe they are not the same process.
In general, specialty grains such as Crystal/Caramel malt have had their starches "pre-converted" into sugars through the malting process (the interior of the grain has been kilned while still wet, thereby "crystalized" into complex sugars), whereas darker roasted malts such as Chocolate and Black Patent have been dried and roasted to the point where virtually all of the enzymes involved in normal mashing are dead, what's left are the intense "roasted" or "burnt" flavors we desire from them. When we include these grains in making beer, we aim to extract "flavor" or "mouthfeel" from them (in the case of oats), not convert starches into sugars. Therefore, all that's really needed to be done with these malts is to "steep" them in hot water for a length of time as if we were making tea or coffee, extracting their flavor.
The process of "mashing" means "steeping" grain in hot water for a long enough period of time so that the diastatic enzymes in the grain are activated and have time to convert the starches also present in the grain into sugars (thereby making them accessible to the yeast when we ferment). This is the point of including all that "base malt" such as normal 2-row or Pilsener malt. This grain has been "malted" long enough to stop the germinating process (which unlocks the starches for conversion), but not so long as to kill the enzymes that convert this starch into sugar. It forms the "meat" of the beer, whereas the specialty grains are like spices added on top to create different flavors, colors, etc.
On the other hand, the only difference between "all grain" brewing and "partial mash" brewing is that in partial mash you're substituting "part" of the base malt grain for malt extract (which is basically just "pre-mashed" and concentrated). The main reason you'd do this is if you don't have enough space in your mash tun to fit all of the grain and water needed to do an "all grain" mash. Of course, in both all grain and partial mash, we are also "mashing" the specialty grains, but it's important to note that what the specialty grains contribute to the finished beer while being "mashed" along with a portion of your base grains (partial mash) will be about the same as if we just "steeped" the specialty grains by themselves, and used extract for all of the base malt.
Case in point, if you look at Jamil Zainasheff's Oatmeal Stout recipe in "Brewing Classic Styles", he first recommends "steeping" the oats with the specialty grains (1 lb of oats for a 6 gallon batch), while using all extract for the base malt. He then provides a "partial mash" option where we decrease the extract by 1.4 lbs and add 2 lbs of 2-row base malt in with the specialty grains and oats (thereby making an actual "mash"). He then provides an "all grain" option where you substitute base malt grain for all of the extract, but the mashing process will remain about the same (there will just be more of it).
With reference to this distinction, the question of whether oats need to be "steeped" or "mashed" is somewhat debatable, but if you plan on "steeping" them, I'd definitely recommend baking them in a 300º oven for a while until they give off a nice aroma. This will help bring out more of their flavor.
Hope this helps you figure out what to do. The only time I've actually used oats was in a "Brew In A Bag" (BIAB) all-grain batch, where you add all your water at once, making a very thin mash, which negated the "gummy" oats sparging problem.