As long as the oats are "quick" oats as opposed to old-fashioned. The difference is that quick oats are pregelatinized to make the starches available for conversion. Old fashioned oats are not pregelatinized and require a cereal mash first to gelatinize them.
The oats would go into the mash tun for all grain brewing and the steeping bag for extract.
We suggest using Simpson's Golden Naked Oats. They add a nutty character to the beer and add a very nice, silky smooth, creamy mouthfeel.