I use a modified version of CStdString (from CodeProject) in MXM to handle conversion back and forth.
Also, as good practice, use _T() around quoted text and character literals, as well as _txxxx functions.
The CStdString template makes things a bit easier, since there's no CString for the XDK, but you also have to remember that when using parameters in printf()-style formatting calls, with multiple arguments, to explicitly use the .c_str() operator of the string, to force the conversion to the proper type.