There are several better ways.
Any method that is non-destructive (doesn't change the original pixels) is preferable to one that is destructive. Any method that gives you control over the conversions is better than one that doesn't. If you conclude from these two statements that a non-destructive, controllable conversion would be best, you're right!
So we've narrowed the target a bit, but we still have several options. Several of them are beloved of geeks and "old-timers," but much as I love them myself, they don't ultimately have any advantage over the two I'm going to suggest, they are either more complex or require getting quite far under the hood or both, and they tend to be a bit "all or nothing."
The two non-destructive methods that give you the most control are the Black-and-White filter (CS3 and later) and Camera Raw (CS4 and later, for raw, jpeg and tiff images). The endless power to tweak can be so interesting that you lose hours of sleep, miss meals and generally wreck your social life, so be careful. :-)
At the end of the process, if you need an actual grayscale image, use Image > Duplicate Image to create a copy of the working PSD, flatten it (important), then convert.