Colors will always shift when you switch from one color space to another (especially RGB -> CMYK and vice versa). You will need to turn on the color management features of your software. If thats too much work for you, you'll just have to live with the wild color shifts. In the system preferences go to "ColorSync," and from there you choose the profiles for your system. Typically, "Generic" works for RGB and either Generic or ColorMatch for CMYK, with preference for ColorMatch.
If you're using Photoshop, setting up color management gets a little more complicated. If you're in OS X, you can set up color managment by selecting "Color Settings" under the "Photoshop" menu. In the dialog that shows up, you'll want to set up your working color spaces and management policies accordingly. For more control over color space conversion, check the "Advanced Mode" checkbox at the top of the dialog box. The conversion engine and intent (especially intent) affects how the color shifts when switching color spaces (colors will shift regardless). This is not color calibration, but if you're even mildly concerned about color, you'll set up your color calibration as well.