I do sometimes leave some of the grains out of the mash and steep them separately.
Why? My water has a quite low pH to begin with, and adding too many dark grains during the mash can acidify the mash too much, forcing me to use Calcium Carbonate (Chalk) or Sodium Bicarbonate (Baking Soda) to bring the pH back up to the ideal mash range (~5.2 - 5.5 pH).
What is my rule of thumb?
Any grain that is 100 SRM or darker and does not need to be mashed gets steeped unless it's a very small percent of the grain bill (for a 5 gallon batch, I'll put as much as 4 oz in, but beyond that, I'm probably steeping).
Generally, that means Crystal/Caramel malts, Chocolate Malts, Roasted Barley, and other dark roasted malts.
The only reason you might consider steeping darker grains if your water's pH is fairly normal is that you can more carefully control the extraction of tannin/astringency from those dark grains by steeping for a shorter period of time or even cold steeping them overnight.
If you want more a more in-depth answer, here's an excerpt on my post about mashing sweet stout on my website, Mad Alchemist:
Don’t mash your roasted-and-kilned grains (e.g. chocolate and black
malts). Roasted grains will drive the pH down considerably, so it’s
difficult to keep the pH high no matter what fancy solution you use
during the mash. Roasted grains have the wonderful benefit of not
needing to be mashed. So, the best solution, in my opinion, is to mash
everything except for your roasted grains in your MLT, and steep your
roasted grains in a separate vessel (below 170 F) simultaneously at
around 2 quarts per pound. Then, combine the wort created by the
roasted grains with the mashed wort in the brew kettle.
If you don’t want to steep the grains, you can essentially brew a
coffee with the dark grains with either a more traditional method
(heat) or you can cold brew it overnight to really avoid the
astringency as much as possible… it’ll just take longer. If you cold
brew, you should probably bring the temperature of the concoction to
170 F after removing the grain to pasteurize it.
Then, you can add the coffee-like brew whenever you want (start of the
boil, end of the boil, directly in the fermentation vessel, even just
before bottling). All will impart different character, so experiment!
Note that you might not get full extraction from all roasted grains
when steeping. According to some experiments run by John Palmer, it
looks like Black Patent and Roasted Barley are some of the only
roasted malts that have the same yield as mashing when steeped. As
such, you might only exclude those from your sweet stout mash, or you
can increase the amount of other grains accordingly (e.g. multiply the
ounces of Chocolate Malt you use by ~1.5-1.6 to make up for the
difference).
I would not recommend sparging with the roasted wort, in part because
you’re going to impact the sparge pH pretty significantly, and in part
because you’re going to leave some of your flavors behind.
Hitting the ideal concentrations of all ions in the brewing water as
well as the ideal pH is very easy when you leave out your roasted
malts (and any other malts that don’t need to be mashed, such as
caramel/crystal). By steeping the roasted malts (and, optionally, your
crystal malts) separate from the mash, you might end up with a much
better sweet stout in the end. As someone commented, you could also
steep the grains in a bag while you transfer to the boil kettle from
your MLT, which sounds like a great idea.