eeek! No dont use the in camera setting! Do it in post processing. You have no much more control. Typically a picture just converted to grey scale is flat and lifeless. Learn how to properly covert an image to the type of B&W you want...it will make all the difference!
It's called monochrome and if you shoot in RAW then there is no problem. The raw file retains all the color information. In DPP you can pull it up as monochrome or any of the other styles.
I agree however that post processing is the better way to go. You will have much more control over the finished product then if you just use monochrome.