To me this smacks of--this is the way I do it, so you ought to too.
Just my .02
Sorry, didn't mean to come across like that. What I was getting at is that on your first AG brew, there's gonna be a lot of learning going on without the added complexity of a step mash. In addition to that, based on the experience of many of the homebrewers who have tried it, there will be no detriment to the beer by not doing a protein rest. I certainly didn't mean to discourage the OP, or anyone else, from ever using a step mash. I do it myself from time to time (although I don't often use a p rest). And yes, I do it in a cooler, which works just fine, thank you!
And BTW, I've used a P rest on my last 3 all pils malt beers, just to once again see if I might be missing something. As far as I can tell, there's no difference from when I made them without a p rest. YMMV.