What software are you using Jack?

I tested with CS3, if you use CaptureNX then yes, your camera settings will be carried through, because it's Nikon's own software. But if you use a 3rd party RAW editor like lightroom or photoshop, they won't. This is purely because the camera manufacturers don't want to give away their algorithms/secrets away - which they'd have to if they allowed 3rd party software to read those files with those settings in tact.

CaptureNX for conversions - although I think its a poor bit of software for getting around and the design, simplicity etc.... it works for conversions. I then do my PP in PS.

I hear CaptureNX 2 is better.

I downloaded a 30 day trial (of 1), and while it was no doubt much better at handling Nikon raw files (as it kept all camera settings), I couldn't get used to it - hence why I never opened the one that came with the camera