Actually, I do not notice a change in the appearance of an image when I switch between pro photo and sRGB, despite the histogram changes. I think this observation strikes at the heart of the problem- when I soft proof, I don't see a histogram change, and so I don't yet know what the limits of the output space are. Only when I assign a profile to the image (ex: a costco ICC profile, or as a default, sRGB) for finalizing do I see a change in the histogram, which usually shows clipping. I "Preview" the image in sRGB in camera RAW because an sRGB image seems to yield decent results from most offsite RGB commercial printers that don't provide ICC profiles (Walgreens, etc). If I could preview with an ICC profile, I'd use that instead if I wanted to print the image from that printer.
If you want to see the histogram in the printer color space, I think you would have to convert to that color space (convert, not assign). When you are soft proofing, the data are in the original color space and the histogram will be for that space, not the destination space. To view out of gamut colors, you can use the gamut warning in Photoshop soft proofing, but that does not tell you how far the image is out of gamut.
If you want to use the Costco profiles from Drycreek.com, you have to convert
to the profile with the desired rendering intent. If you assign
the profile, you have not changed the numbers in the file, but only how they are interpreted by Photoshop.
If you want to compare the gamut of the file to that of the printer, you need appropriate software such as ColorThink (expensive) or Norman Koren's GamutVision (more reasonable). Then you can see which colors are out of gamut and how far they are out of gamut.
sRGB works reasonably well for the Costco printers (which may be Nortisu or Fuji Frontier, depending on the store), because the gamut of these printers is not significantly larger than the sRBG gamut. If you look at the interactive gamut display on Drycreek.com and compare sRGB with the Noritsu 3101 and Crystal Archive paper, you will see that the printer can handle some yellows and cyans that are out of the sRGB gamut. If you use aRGB, a few yellows in the Costco gamut still can't be represented.
The newer inkjet printers have a considerably larger gamut, and it is best to use ProPhotoRGB when outputting to them. Modern digital cameras can capture colors well outside of the aRGB and sRGB gamut, and such out of gamut colors can be contained in rather innocuous appearing images, as Jeff shows with a ColorThink plot on p. 12 of the ACR book.