I'm working in Photoshop CS5 and would like to use HDR effects for print work.
It really depends on what you mean by HDR toning. HDR refers to a method of representing image data using a larger range of numbers than is normally provided for by using typical RGB 24 bit color (8 bits per channel). 8-bit channel color has a limitation of 256 discreet integer values, and HDR is 16 or 32 bit floating point both of which provide for significantly larger ranges of values.
Note that the total black and total white values in HDR are going to be the same as the black and white in normal RGB, so the larger pool of values are used for finer gradation between black and white.
In order to do offset printing, you are probably going to be limited to 8-bits per channel, so you are not going to be providing true HDR no matter what.
Converting to CMYK will change the potential color gamut, but whether this "ruins" the result is really a personal judgement. If you have a decently calibrated monitor which simulates CMYK "close enough" to what you see with the finished printed product, then what you see in your HDR toned images will also be pretty close to what you receive in print.
Unless you have a specialized GPU and monitor, all HDR images you see on your computer are not actually HDR, but rather calculated and immediately downsampled to 16-bit or 8-bit RGB. And if they are 16-bit RGB, you are probably seeing an 8-bit RGB representation of that because (again) your monitor probably only supports 8-bit per channel RGB.