With some grains yes. You'll need to try it and see if it's for you.
For crystal grains, you may get some extra conversion if in a full mash with base that has surplus enzymes so separate steep then added to kettle should add some dectrins, contribute to body and result in a higher fg. This is theoretical on my part as I have not done it.
However steeping roadt malts separately I have done a lot of. This avoids the need to add anyhing to raise pH of the mash and depending on hos it's done, should result in a smoother flavour. Can be great, some find it makes big stouts too subtle or not robust enough for their palate. I cold steep for 24 hours and add that to the last 10 mins of the mash rather than the kettle and find it gives the best of both worlds.