I know this topic is old but I wanted to answer hit on a few topics in case someone else is looking up this info on here. You will want to mash dry roasted grains, simply steeping them like caramel malt will impart some flavor, but not contribute much to the beer as far as any sugars. Dry roasted grains have not undergone any conversion, so mashing is required to get the full benefit of the grain. You can however, make homemade caramel malt by doing a mash in the husk of the grain, drying the grain, then if you want a darker caramel malt; roasting it.
Going over 15 minutes at 350 degrees is not an issue, I've done so many times before, at least on my oven. I think if there was excessive smoking then possibly the heat was too close to the grain. As a matter of fact copper malt, brown malt, deep amber, and so forth; all require the higher roasting temperature for an extended period. I personally have never experienced any smoking or burnt grains with these types of roast, but if you are burning, I would check how close the grains are to the heat source and if possible, misting with some distilled water may help.
I have done a ton of roasting and specialty grains at home, if you have any questions you can feel free to ask.
