I'm a little bit confused about color management. Suppose I have an image in Photoshop with embedded color profile sRgb (or Adobe Rgb). Then, I have my printer Epson with default color profile "Epson Ij7 Printer". If I save my previous image as JPEG, then I print it, am I doing something wrong? Will the color on paper, selecting the right paper profile, result in the same as the screen?
For a color managed workflow, all parts of the path from image to printer need to be color-management aware and you must know what color space the image uses (which means it must have a color profile, unless it's in the sRGB color space).
So: your image knows what color space it uses, the software doing the printing supports color management and has it enabled, and the printer driver enables color management.
This should be all that's required to make use of color management. You can give this a test by printing an Adobe RGB (or wide gamut) image and seeing if the colors end up too dull. If so, you don't have color management enabled somewhere, in particular your printing software is probably not communicating the image's color space information to the printer driver.
Note: beginners to color management sometimes worry about things like converting the image to the printer's color profile: you never need to do this. The conversion happens when you print.
Also, the approach most likely to succeed is just to shoot your images in sRGB, as if any part of the color management process is not properly enabled it'll usually fall back to sRGB and all will be well. All you lose is the ability to reproduce some highly saturated colors such as greenish-blues that sRGB can't reproduce.