no no...change everything thats used for print to ink colours (CMYK)... everything thats for screen/web to screen colours (RGB)...
if u throw a cmyk vector into a rgb psd-file it will still be converted to the rgb colour modes u save the file in
as for the pdf...what are your pdf settings? u can choose to preserve colour spaces, or force it all to cmyk. just make sure ure not makin a rgb pdf in the end

it should just look black if ure screen is calibrated...
u got full edition Acrobat? than u can look at the colour seperations to see what the actual colour is gonna be
choose for accurate. that way u will be able to tell the difference between black (0,0,0,100%) and rich black (20,30,20,100%). u will also notice that big normal black fonds will automatically overlay on their background...creating weird unwanted effects.