What you see on screen isn't necesarrily what will be output. Screens emit colour using RGB - so it's simulating what CMYK would look like - in essence you're converting a RGB that's displayed in RGB - to CMYK then the monitor has to convert those colours back to RGB to give you a colour.
What you really need to know is the closest CMYK values to the RGB.
For this you would need a colour book like a Pantone book that shows the RGB and CMYK values of a swatch.
Then you can use the eye dropper and Window>Info in Photoshop to get a reading of what the CMYK colour actually is.
I'm saying the screen isn't reliable for colour reproduction of CMYK colours. You need to look at the CMYK values and compare them to a printed colour chart to determine what the output will be like.
How are you converting them? Are you just going to Image>Mode>CMYK?
Try Edit>Convert to Colour Profile and choose the output desired.
If you're not sure which one to use then check with your printers.
It might yield a better conversion.
It's a fact of life that the CMYK gamut is smaller than RGB. ANY RGB to CMYK conversion is likely to lose some vibrance someplace unless the colors are all within the gamut of the CMYK space you choose for converting (and they are not all the same -- different inksets on different paper stocks will produce very different results from the same set of numbers. ALL CMYK profiles are device-specific (or describe a class of device) and it is important that you match your conversion to the intended output device.) Your choice of rendering intent will also influence what is lost. It's also critical, if you are trying to soft-proof an image, that you use a quality monitor and that it is properly calibrated and profiled.
so you're telling me that even if I see it looking washed out its not really like that?
When you are editing or viewing RGB in PS or ID you can use Overprint Preview or Proof Colors to see how unprintable RGB colors will convert to CMYK before you make the conversion. By default PS Proof Colors shows how the image will convert to the Color Setting's current Working CMYK space and its Conversion Options (Intent, Black Point Compensation affect the conversion).
So you can edit the RGB file and bring it into gamut without commiting to a CMYK conversion. As Peter mentioned soft proofing only works if both the monitor and CMYK profiles are accurate.
Color gamuts go both ways, 100% cyan is printable but not viewable. So there are some saturated CMYK blues that will display duller than they will print even with the correct monitor and CMYK profiles.