Fist Multi Rest Mash

Next week I'm going to try my first multi rest mash.  I use a 10 gallon rubbermaid cooler to mash in.  I'm going to be making a Hefeweizen (6 lbs Wheat, 5lbs Pils, 1lbs Oats) and have a question on the different steps.  I can only do a 2 step mash.  Initial infusion and then a little later add hot water to bump it up to the sach rest. 

My question is I've been told by different people that I should do the protein rest (120-131F) at the initial infusion and then raise to sach.  Others have said to do a sach rest and then mash out.

Which would be the best bet?

Thanks for the help in advance!

My question doesn't answer any of yours, , but why oats in a hefeweizen?  I don't believe I have seen that before.

If it helps I don't believe most modified malts need a protein rest any more.

I would not put oats in a Hefe.  With >=50% Wheat your head retention will be phenomenal....think whipped cream.  The body contributed by the beta glucans from the oats wouldn't be appropriate either.  They contribute very little if any flavor. 

I would not bother with a step mash on a Hefe, UNLESS I were going to do a decoction.