If you shoot raw (not RAW :nonoit doesn't matter if you select any other in-camera settings, like saturation, unless you are processing the images in Capture NX as the likes of Lightroom doesn't recognise them afaik
The reason i set it to netural is that it's easier to process using CS4, ie saturation,usm ect, I also have NX 2 but rarely use it i find it to slow, even *** my PC is fast.
the point is whatever you select, it will not have any effect on the appearance in CS4
) and when you opened the the raw files in Lightroom the embedded jpeg would appear with all the settings in place and then the image would suddenly change to the raw state, (obviously as the raw file loaded). 
Basically i set everything to zero it my custom settings, I perfer it that way.

Basically i set everything to zero it my custom settings, I perfer it that way.
First job with any new camera is to turn everything OFF for the most 'natural' capture IMO
DD
That doesn't seem to be sensible advice at all.
If you shoot raw, then the settings don't matter a jot, neutral or not.
If you shoot JPEG, you are going to want to shoot with more optimal settings.
Even if you shoot jpeg - I still prefer to add my 'flavourings' later rather than in camera
Yours unsensibly
DD