pumpkin ale questions

I am looking to make a pumpkin beer soon, it will be my 2nd bath ever.  The first batch was an all extract, and came out nicely.  I want to do this extract/partial mashing.  From my research online, it looks like I should bake the pumpkin pieces.  So after I boil the can of extract (and add whatever hops/spices I choose or buy) to put the pumpkin in.

Is this the way to go?

this was an interesting thread to read:

http://www.homebrewersassociation.org/forum/index.php?topic=3319.0