Should I be? Can you please explain the difference, because I do not know about this.
Well, that's my understanding. IN CS3 it's under the Edit Menu, Edit > Convert to Profile. This opens a dialog box which allows you to choose the destination profile (there are several CMYK profiles for different paper and press conditions), and choose the rendering intent. Most photos look good using Relative Colormetric or Perceptual, and you can toggle back and forth to check which is better.
This gives more control over the process. I have set up Actions for my common CMYK situations, using the Convert to Profile command. This speeds up my production work, but it's not necessary unless you are doing these conversions all the time.
EDIT: Let me add that the CMYK profiles you want are the U.S. Sheetfed and U.S. Web, Coated or Uncoated paper (assuming you are in the U.S.) These are "canned"profiles, but they work pretty well. Choosing the right profile can make a big difference, so you need to know the paper and press before doing the conversion. The client or art director should be able to give you this information.