I always create a new adjustment layer when applying the B&W adjustment. This way you can go back at any point and readjust. The sliders in the CS3 B&W adjustment do act very similar to the way filters would have acted if you had shot B&W film. If you select the Red filter option, it will darken blue skies etc.
One plus to shooting in color and converting to B&W in CS3 is that after applying the filter you can make additional adjustments. For instance, if there were pink Rhododendrons in your shot you could separately adjust the red and/or magenta slider to accentuate this color within the image.
The other filters (warming etc) do come close to mimicking the effect of that filter if it had been on the camera when shooting. My preference is to apply the filters in Photoshop and not use them on-camera. The only filters I consistently use on-camera are a polarizer and graduated neutral density.
Hope this helps.