Same as my method. Slip a toasty here and there in a roll, but not first or last, and have never had complaints from my banks. (My bank requires me to write my acc't # and name on all coin rolls).
That said: a) according to law, (all federal or most states, forget) legal monies are only obligated to be taken by businesses which have already rendered services. Which is why a person can take 30000 pennies to pay for a $300 incurred debt, and either the debt is paid or the business refusing such type of payment is obligated to instead forgive the debt. But it's not forced at the point of sale that any business is required to take all monies, which may include banks. The same person using 30000 pennies to buy a TV or something could be legally turned away, even though pennies are legal tender. If a person has 12 nickels and wants to buy a 60 cent soda, the soda vendor could refuse that type of payment. If the soda hasn't already been issued.
b) Even though I'm poor most of my completely toasty (bubbled up, etc.) pennies I toss in my trashcan. As you point out, replacing a thin penny with a thicker to not arouse suspicion is a proper angle. But it's just not efficient to save toasty, 2X thickness pennies in order to sneak in, since there are SO many of them, encrusted, and relatively few found thinner pennies. More a headache than +1 penny is worth, at least to me. And I'm not a copper hoarder, so into the trashcan.