So I finally bit the bullet and bought an Eye One Photo to calibrate my LCD monitor.
Under Gimp's View/DisplayFilters, it shows the Color Management filter checked off (under Edit/Preferences, I told it to use the System profile (the Eye One Match software set the system to use the profile after it created it).
I loaded up a Costco profile in Edit/Preferences.
So, to do a soft proof, I added Color Proof to the Active Filter list and chose the Costco profile. The Active Filters list shows Color Management and Color Proof in the list.
Are both profiles supposed to be checked off in the Active Filter list?
When I check off Color Proof, it seems to lighten the image and wash out the colors, but when I look at the actual printed photo (printed to Costco w/o auto color correction), the printed photo looks close to the image w/o the Color Proof checkbox turned on in the Active Filters list...
p.s., if you use the system color profile in Gimp, the preview widget doesn't have any support for color management, so it'll display the image so it's overly bright and with the wrong colors 
It's a known bug in gimp 2.6.x.
