Copnverting to CMYK is the FINAL step... it is best ro work RGB throughout (faster processing, more options, etc.)
Converting back to RGB from CMYK won't shift colors.. the shift occurs when going to thCMYK the first time as RGB has a wider gamut.
Richard M. Harrington, PMP
Author: Photoshop CS for Nonlinear Editors
Co-Author Final Cut Pro on the Spot, After Effects on the Spot, Broadcast Graphics on the Spot, and After Effects @ Work
Check out the new DVD: Photoshop CS: Essentials for Digital Video from http://www.photoshopforvideo.com