I've been making extract batches for around 10 months now, and have been itching to jump into all-grain. I got a great grain bag from Jimmy and Becky, and did a bunch of reading. My kettle is 8 gallons, so I decided on doing a 3.5 gallon batch to start out with, and chose APA for my style. I modified a recipe I found online, and ended up with:
.75 kg Crystal 30
.75 kg wheat malt
2.5 kg Canadian 2 row
.8 oz Centennial - 60min
.5 oz Centennial - 15 min
.5 oz Cascade - 0 min
Whirlfloc
Using 60% estimated efficiency, the OG is supposed to be 1.048
The mash was successful, but very stressful as I had three thermometers, and they were all a fair bit off. I decided to trust the dial thermometer on the kettle after reading reviews on it being accurate on the OBK website. The other two were fairly cheap, and really were out of whack at boiling. Anyway, I was aiming for mashing at 153, so the strike temp of 162 hit it right on. I didn't have much to insulate with (well, not much that I wanted to smell like wort for a week), so I used some towels. The mash dropped 5 degrees f in the first 15 mins, then dropped another 4 in the hour. Overall, only 9 degree drop... is that alright?

Measuring the gravity after the mash, I was at 1.036, but when corrected for temp, ended up at 1.053, higher than I planned! If I did this correctly, my efficiency into kettle was 75%. I measured before squeezing the bag, and after and achieved the same result.
I boiled as usual for an hour, but used Irish Moss for the first time... man that stuff makes the wort look wrong... here's a pic of it chilling.

Anyway, after boil, my OG was 1.056, giving me an overall efficiency of 66.3% which I was pretty happy with, as I designed the recipe with 60% in mind.
I used a bag to contain the hops during the boil, but drained the entire kettle into the carboy without worrying about filtering. Here's how it looked just before tucking it into my ferm chamber... I've never seen anything like this before!

All in all, I'm very happy I made the jump to AG/BIAB and I learned a lot today about my equipment and what to do next time. Please feel free to let me know if it looks like I made any big mistakes along the way!
-Jordan