I prefer to shoot in RAW+ JPEG Medium Fine, using the sepia image tone and the Yellow Filter effect, with the contrast appropriate to the lighting, and in-camera sharpness turned up fairly high. This is with a Canon d-slr. I think that shooting the Medium size JPEG with Fine Compression and not Large JPEG gives a slightly better, down-sampled image straight out of the camera.
The RAW data,with all cameras (Canon, Nikon, Fuji), will be in full, RGB color, but the in-camera JPEG images will be monochrome. Some cameras, like Fuji d-slrs and Canon d-slr's, produce pretty credible monochrome images in-camera. The advantage is that you can shoot in monochrome, and look at the results on the LCD and can evaluate the image *as a monochrome image* in the field or studio. A monochrome image depends more on line,shape, hue, and tonal value than a color image does,and the evaluation of a monochrome image on the LCD is very different from evaluating a color image. Done RAW+ JPEG monochrome, you get monochrome images, but have the full color info as well, if you want to do a PS conversion, or want to go with full-color.
To me, if you want monochrome as the finished product, you might as well light and compose for monochrome,and show some artistic integrity by being able to commit at the camera to something as simple as monochrome JPEGs with the full safety of 12- or 14-bit RGB capture as a fudge factor.