Your best options:
1) Shoot JPG, and use Monochrome picture control. In the picture control setup menu you can simulate filters (red, orange etc) and do toning. Based on your settings, The camera will do a B&W conversion when it creates the JPG. LCD preview will show in B&W. You will not retain a full color version of the image.
2) Shoot JPG in normal (color) mode. Use the retouch menu to do a basic B&W conversion, or apply sepia toning. This will create a new B&W version of your image, keeping the original color version, so you have both. The retouch menu doesn't have the depth of options that the picture control does.
3) Shoot RAW and use monochrome picture control. This has the advantage in camera that you can preview a basic B&W conversion in your LCD, but when you save the RAW file, it will retain all color information, so you can do a more controlled B&W conversion in post processing.
4) Shoot RAW + JPG, and use monochrome picture control. Best of both worlds. You get a B&W JPG, and the full color RAW should you choose to do B&W conversion in post processing (or you change your mind and want a color image)