1. Should you be working in CMYK. Well if you DO work in CMYK there is less chance that you will pick a color that can not be reproduced by a printing machine. If you work in RGB, there are a number of colors that fall outside of the normal printing gamut, and will not reproduce accurately, no matter what. So that's a "yes, it sure won't hurt."
2. The "Pantone System" available as digital color swatches on computers is a totally discredited matching system, having little or no use. They do sell swatch books, which can be useful if a client wants an exact color... the printer can use the swatch to visually match and adjust for specific colors. Using pantone digital colors will not help explain to the printer what your colors should look like, since even the Pantone swatch books do not match each other. I talked with an ex-Pantone rep once about their "system"... just chilling, how bad it is. So don't worry about using them.
One thing to note about working in CMYK, if you want a really good, dark black you might want to use "rich black" which combines K with C, M, and Y. You can search on the web for the intensities to use (something like K=100, C=50, M=20, C=20) Everybody has their own version of rich black that they swear by. It definitely WILL make your black VERY black. When you send it to a printer, you might want to tell them to use rich black for all black areas (sometimes their seperation / preflight machines will strip it out)
Also, be careful on using rich blues and deep purple colors. Those are the most likely candidates for getting messed up during printing. Mamemarquees seems to be able to reproduce them fairly well, owing to their use of a high-quality inkjet, rather than traditional printing methods. Also, be careful about small point sizes on type knocked out of a black or dark background. Again, if you used Mamemarquees, I don't think it would be a big problem.