Only if you're shooting JPEGs. If you're shooting Raw, the encoding color space is something you specify at rendering from the Raw converter.
right right... the RAW's the RAW- it does not have any editing "color space". (This
statement is gonna open up a can of worms, I'm pretty sure... heh.)
The setting on the camera only serves to generate the preview thumbnail or, as Andrew says, a JPEG if you're shooting that. It's still helpful to set the camera that way, though, because the histogram (the single most important tool of digital imaging, IMO) on the camera is generated based on those settings.
Glad you like the cookie cutter... ha!