You are best toasting them first in an oven so that they are golden brown. Also you need to do a glucan rest before the mash. Basically you need to mash at about 35-40c with 20% of the oat weight in pale malt and 2.5 x volume of water for 15 minutes then raise the temp to 65c and add to your mash. I invariably just add to the mash grains then add my strike water and adjust the temp with either hot or cold water.
You could do this and add them to any beer. It doesn't have to be a Stout.
You also don't have to do this to make a Stout, it's all down to preference. My last stout didn't have any oats in at all, as I didn't have any. It's a very nice Stout though.