I just spent a week redoing my portfolio....just upgraded to CS4 from CS2, what a nightmare.
Epson1290 printer & an iMac .

Anyway, yes, calibrate !! your monitor, save that profile and then set that as your printers profile with "Printer managers colors" in the print dialogue. I was having a disaster with it set to "Photoshop manages colors" until a friend suggested setting it to "Printer manages Colors".
Even with updated Epson drivers that dialogue is the only way I could select the paper type or any other print settings in CS4.
Thing is Photoshop seemed to be saving my new print presets... but when I checked ( after yet another bad print) it actually wasn't.... paper type kept reverting to Plain even though I saved as 'Matte Heavyweight'.... so check that that isn't happening for you.

At least thats how I finally got very good color matching on both photos and artwork after tearing my hair out for a day... and a lot of ink and paper.
Also print your proofs smaller and in a corner at first so at least you can turn the paper around and use a different corner for another proof.

" Try and be nice to people, avoid eating fat, read a good book every now and then, get some walking in, and try and live together in peace and harmony with people of all creeds and nations."
-Monty Python