I seem to write these instructions at least half a dozen times per week in various threads, so I'm simplifying my life by putting it all in one post.
How do you check the colour space of your images?
There are numerous ways, but my favourite is simply to turn this on to check the profile of any image I have open in Photoshop.
If it's not sRGB, is that bad?
No, of course not. Some people choose to edit in a larger colour space such as Adobe RGB, then convert to sRGB at the end of the workflow. I'll discuss this shortly.
Before you read much further, you need to make your own decision. Do you wish to have an all-sRGB workflow (my personal preference) and avoid any extra steps in your workflow; or do you wish to work in a larger colour space then convert? I would encourage you to read my article here, and a little analogy here, and any relevant discussions on your photography forum.
How do images get their colour space?
If you shoot Jpeg, the colour space is dictated in your camera. You should be able to find the setting pretty easily - consult the manual if necessary.
If you shoot Raw, the camera settings have nothing to do with it. Raw data is just ones and zeros until you process it. So, your raw files are given a colour profile by your raw processing program. If you use Adobe Camera Raw, you can check the colour space by glancing at the link at the bottom of the window - it will look something like this:
If you use a different raw processing program, the colour space will probably be in the Export options, or something - again, check the manual.
Workflow option 1: Work in a large space, then convert to sRGB at the end
If you've decided that an Adobe RGB or ProPhotoRGB workflow is right for you, then you'll definitely need to convert to sRGB for web, and you might need to do a profile conversion for printing too (check with your lab whether they accept files with non-sRGB profiles; but keep this in mind).
Web is dead easy - it's automatic! As long as you've got CS3 or later, there's a "Convert to sRGB" checkbox in the "Save for web and devices" dialog. So, after you've resized and sharpened for web, don't choose "Save" in the File menu; choose "Save for web and devices". It does the conversion for you, and you don't need to worry about a thing. (Remember to also check the "Embed ICC profile" checkbox.) (A bit more about web images here.)
Converting profile for print needs to be done manually, but it's really straightforward. Just choose "Convert to profile" in the Edit menu. It will tell you that your Source Profile is Adobe RGB (or whatever) and you can set your Destination Space to sRGB. Then save your Jpeg file ready to send to the lab - simple!
Note: Some labs require conversion to their own custom print profile. Frankly, I'd find a new lab. That is some serious 1990s hangover right there; don't be surprised if they print your photos on papyrus!!! LOL!
Workflow option 2: All sRGB
If you've decided that an sRGB workflow is your cup of tea from now on, you just need to make sure your images are in that space from the word "go". As I said earlier, set it in your camera if you shoot Jpeg, or in your raw processor if you shoot Raw. And make sure your Photoshop Color Settings (in the Edit menu) remain on "North America General Purpose 2". From now on, you'll never need to worry about colour space problems again.
But of course, you've still got the problem of your old images being in another colour space. Relax, you don't need to re-process them! You just need to convert them, that's all. Simply use File > Save for web and devices or Edit > Convert to profile, as I discussed in "Workflow option 1" above.
