Been away from my PC for some time, didn't see the replies...
Thanks for the tip on Color Range selection. I've tried it and got some rather confusing results. This option gives a selection which differs quite strongly from the out-of-gamut preview (the gray overlay when you turn on soft proof). So it is certainly not based on selected soft-proof printing profile. In one of images I tried, it selected about 30% of the whole image (lots of greens), while the preview showed a rather modest gray area (I was using R1800 Epson Premium Gloss profile for soft proofing).
Changing the working CMYK space from Europe SWOP Coated to Uncoated changed the selection generated by Color Range. So I think it is based on this, rather than printing profile used to soft proof. It would be rather nice to be able to load printer profiles as CMYK working space, but that's not possible, what with inkjets being treated as RGB devices...
I wonder if there's some other solution to get those out-of-gamut colours selected, based on soft proof profile...