There is no way to keep your RGB values when converting to CMYK. It is the nature of the two processes. RGB is meant for on screen viewing (web, video, etc.) and CMYK is for printing. I can get into the scientific aspect of it with additive color vs. subtractive color but the simple answer is the only way to keep your colors accurate is to stay within the CMYK spectrum in RGB.
One way to save yourself some headaches is to watch for the gamut warning icon. It looks like a yellow sign with an "!" inside. It shows up in your swatches or Color palette or the color picker window. When this shows up, a small swatch is next to it representing the closest CMYK value. Click this and it will convert your color to CMYK.
If this is a photo and you are converting, you should do your color adjustments in RGB and try sending the RGB file to the printer. Most personal printers have their own CMYK values that they will convert it to and look closer than if you convert in Photoshop then have it convert again.
The beatings will continue until morale improves -- The Management