Things like caramalt/crystal malt, black malt, carapils (especially good for extract brewing as it adds loads of head and body and doesnt need to be mashed, get some!,) can be steeped if you want. If it's already been malted and you just want to add colour and flavour, then steeping is fine. Smaller quantities can even be chucked in the boil instead of steeping, 100g black malt for a guinness clone won't need to be steeped and can just be thrown in. Only small quantities though, any more and you risk tannin in your beer.
Unmalted adjuncts need to be mashed. Torrified wheat, flaked barley, rolled oats, flaked maize, anything along those lines. You'll need to mash them with pale malt for them to have any effect on your beer. On top of that, you will also need to mash wheat malt if you want it to have any effect on your beer as it's a base malt.
Part mashing will save you money and introduce you to all grain brewing, so it's worth doing sometimes. I too can't be bothered for a bit of crystal malt here and there, but with beers with a more complex grain bill, it's worth considering! I usually just use 1.5x the amount of pale malt to speciality malt. Ie 300g crystal, 100g carapils and 50g black malt would need 750g to be easily mashed. Just a ballpark figure, but you don't wanna undershoot it.