How strong of the roasty flavor from the dark grains do you want versus a dark color with mild roasted malt flavors?
The stronger the roast flavors desired would lead you to adding the dark malts to the mash. If you wanted to get color without the harsher roasted flavors coming through, you can either cold steep and strain into the mash or top off with the darker malts before sparging.
There is no wrong answer, it really depends upon what you want to achieve in the end.