With your grayscale image open, select the Channel Tab/Palette > Click on the channel (called gray) > Command+A to Select all > Copy.
Then, in your CMYK document, select the Channel Tab/Palette > click on the black channel > then Paste.
Voila.
Is the correct layer selected in the grayscale file?
Looks like you're copying nothing, therefore you're pasting nothing, so to speak.
Go to my cmyk document. I have found that the copied image will only paste correctly to a background layer in the black channel using simply the paste command.
To paste to a higher layer, select that layer, select the black channel, then paste. A marquee appears representing the outline of the image to be pasted. Resize the marquee if necessary using the Free Transform function. Click on the CMYK channel. Fill the marquee with a color using the paint bucket. Click on the black channel. Paste again. The image of the car comes in at 100%. Resize to the same percentage as before using the Free Transform tool. Click back to CMYK channel and continue with the project.
Does anybody know any shortcuts?