You should set a profile that is set to change specific RGB range into K channel, otherwise you will the "dirty grey" when converting into CMYK.
If you are printing in office printers, many printer driver software allows you to create a custom profile. Turning off all the "vivid photo" options and setting the color management to "manual" would usually eliminate 75% of color problems.
On the other hand, if you are going to be sending it to a commercial printer, you should take into account that,
1. Printing machines add some paint in all channels;
2. Sometimes (as in very often) printers have their RIP set to add some paint in different plate to compensate for that.
So, to conclude, there is not direct way to maintain the grey value when converting from RGB to CMYK, due to the above mentioned factors.
Generally though, if you want to use grey, it would be wise to add it only in CMYK space.