I have been shooting in aRGB in RAW, processing in aRGB using CS3 and then converting sRGB as the final step before sending to print.
You haven't been "shooting in aRGB in Raw", you're been shooting Raw which has no such defined color space. It could be sRGB, Adobe RGB (1998), ProPhoto RGB or any RGB color space the converter supports. If you're shooting a JPEG, different story.
Whether that workflow is good or bad I don't know. It's just what I have been doing.
Its OK. You need to define what your final output will be (it may be many differing devices). You sort of need to have an idea what the gamut of the scene(s) you'll shoot will be as digital cameras don't have a fixed color gamut, you might shoot a scene that has a very small gamut, or one that's huge. The later may well exceed (and often does), Adobe RGB (1998).
I suppose now that I think about it, it may not be the best as I might lose some of the extended color from the conversion from aRGB to sRGB rendering subtle differences in the final product.
IF the final product always is and always will be something closer to sRGB, then yes. But if you decide in a year to print to say, an Epson 3800, then no. Many modern printers exceed even Adobe RGB gamut.
From what I understand also is that most printers cannot print the aRGB gamut so maybe I want to stick with sRGB from start to finish.
Untrue. Using the K3 inkset, there significant colors that fall outside Adobe RGB (1998) gamut. And there may be colors in Adobe RGB that are not. We're fitting round pegs in square holes here.