Can I just throw oats into the mash tun (all-grain) or my steeping bag (extract) with the rest of my grains?

Yes, so long as they are “quick” oats as opposed to old-fashioned. The difference is that quick oats are pre-gelatinized to make the starches available for conversion. Old fashioned oats are not pre-gelatinized and require a cereal mash first to gelatinize them.

Midwest suggests using Simpson’s Golden Naked Oats (#3138). They seem to add a nutty character to the beer and add a very nice, silky smooth, creamy mouthfeel. More.

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