Mark,
If you've gone through the hassle of calibrating your monitor, buying a decent printer and having your paper profiled I'd say soft proofing through PS is a necessity. They mention soft-proofing in Lightroom as a future capability but who knows when that will happen. LR 2.5 is supposedly the last modification before we go to LR 3.0; but there are no guarantees that 3.0 will have softproofing.
You might be able to find PS CS3 or CS2 around somewhere cheaper and do softproofing there - I don't think that the softproofing has been tweaked much between upgrades.
Note - I'm MarkDS, not Mark F - the original poster, and I know this was not addressed to me, but a couple of comments: I don't know what printer Mark F bought and what paper he intends to use, but if he has a printer which can produce the gamut of an Epson 3800, and if he is using a gloss paper such as Ilfrod Gold Fibre Silk (or similar) with a high DMax, the real importance of soft-proofing is much diminished. I've produced prints directly from LR 2.5 with this combination, without softproofing and the outcome relative to the display image is uncannily close - and that's because of the gamut and DMax of the printing conditions. And I'm saying this as an avid believer in soft-proofing, because before we had these nice Baryta-based papers, I used matte papers which have lower DMax and less gamut and really DO need the soft-proofing. So like everything else in this business....."it depends".
There are credible rumours that LR 3.0 will include soft-proofing; when it will ship we don't know, but it is likely to be measured in months, not years. That's why I suggested waiting if that's an option. As for the idea of getting second-hand versions of PSCS (CS3, CS2) of course Adobe doesn't have an after-sale market for dated Photoshop versions, so before you buy a license from someone else, it would be advisable to phone Adobe and ask them whether they would transfer the license key between third-party sellers and purchasers - unless someone reading this knows this story and can advise here. The problem is that the original purchaser needs a valid license key for the immediate previous version in order to buy an up-grade to the new version, so if it were allowed at all, you would need to find a key for two versions ago - and an installable "EXE" on your machine. I agree that the soft-proof function has most likely not changed over CS2-CS4.