yes, I bought 250gms of grains and they weren't milled. I cold steeped them for a day. Nothing too bad about the outcome. It has a flavour that reminds me a bit more of beers like guiness without the thickness of beers like guiness.
You have to mill all the grains. Everything, no matter what it is. Specialty grains don't need to be steeped (in the "mash") for more than 10 mins or so.