Forgive me if I've got this wrong, but I wonder if you are understanding what is happening with Raw files, with JPEGs and what you are seeing on the back of the camera.
Raw is the unprocessed data file that the camera records. You can't actually see it until it has been processed into a visible format, usually a JPEG.
What you are seeing on the camera's LCD is a very small JPEG that has been processed according to the image parameters that you have set on the camera, eg Picture Styles (sharpening, contrast, saturation and colour tone) and White Balance etc. By the way, I think Canon standardised their Picture Styles parameters after the 350D, in other words +3 on the 40D's contrast slider will be a little bit different to +3 on your 350D, and so on.
When you import your Raw file into post processing software, very often the software will pick up on the JPEG parameters that have been tagged to the image. If you get your images up on screen and the Raw and JPEGs look identical, this is what is happening (assuming you do the sensible thing and shoot both Raw and JPEG simultaneously). It does this because it assumes the in-camera settings will be there or thereabouts and so you won't have to start from scratch. However, the Raw file is untouched underneath this and you can go in and fiddle with them as much as you like.
Whatever the situation, your 40D is a fantastic camera and a big step up from a 350D. I think the thing for you to do is find yourself a decent target image - pretty much anything will do - put the camera on a tripod and adjust the exposure so you're happy. Lock everything on manual. Then go into Picture Styles and take a series of pictures with the different sliders at min and max.
You will see a dramatic difference. Zoom in to see different sharpness levels at work. You will quickly see the kind of changes you like, and you can set up to three different combinations in the C1, C2 and C3 custom settings (you can customise all sorts of other settings in there too). I think it is fair to say that if you go too far away from the standard default settings (+3 on sharpness and zero on the others I think) then you might want to double-check on a different test subject to make sure you're happy, but whatever you do will only apply to the JPEG image - the one that you see on the LCD and output as a JPEG - and the Raw file will remain untouched so you can still do what you like to that afterwards.