Hey Jake,
I do that. I put about 1/2 my mash water in, then slowly add my grain and stir with a mash paddle, then add another 1/4 of the water and check my temp. If it's way too low, boil up the rest of the water and add...if it's too high, I can add colder water. Works for me.
I would have thought if you put in all the grain first then added water that you'd end up with big clumps of grain.