[R] cross validation and parameter determination

[array chip]

Hi all,

In Tibshirani's PNAS paper about nearest shrunken
centroid analysis of microarrays (PNAS vol 99:6567),
they used cross validation to choose the amount of
shrinkage used in the model, and then test the
performance of the model with the cross-validated
shrinkage in separate independent testing set. If I
don't have the luxury of having independent testing
set, can I just use the cross validation performance
as the performance estimate? In other words, can I use
the same single cross-validation to both choose the
value of the parameter (amount of shrinkage in this
case) and estimate the performance which was based on
the value of the parameter chosen by the same
cross-validation? I kind of feel awkward by getting
both on a single cross validation, because it seems
like I used the dataset in training set manner. Am I
wrong/right?

Thanks!