Absolutely shoot in RAW.
You still get the benefits of RAW when you open/convert the files in the utility. You can change the WB setting, adjust the 'exposure', change the saturation, sharpness and contrast etc.
RAW is only the first step in the workflow. Even if you could open the files in Photoshop, you are basically converting the data into an image file and then saving as another format. So as long as you don't save in a lossy format (JPEG) you won't actually lose anything when you save them and take them over to Photoshop.
Yes, it can be a bit of a pain in the @ss, opening them one at a time. You can take some settings and apply them to a batch of images though.
This is why I really love RSE (and Lightroom, although I don't have it yet). You can work on your files in a much easier way, quickly going from one to another and copying over the settings very easily. Makes for a much better workflow than opening them one at a time.