I've tried it and I don't recommend it. It looks and tastes almost exactly like if you tried to mix a bunch of white flour into your shake. All pasty and nasty.
If you have to put oats in your shake either run them through a coffee grinder first or use a blender. They also have boxes of baby oatmeal in the baby foods section of your grocery store. It's more expensive and it is also fortified w/ iron, but mixes pretty decent.