Package document and change to CMYK

Hi,

I have finished an A5 booklet. My printer requests that I package everything from Indesign and they also want all images in CMYK. I have read several discussions and watched videos but still cannot find a way to do this. All my images are RGB. I know I can export a PDF and use this export to change the images but I have been unable to find anything similar in the package function that will also change the images. I get a warning triangle that the images are RGB but no way of changing them.

I have spoken to my printer who suggested using assign profiles but this seems to do nothing. 

Any help with this appreciated.

k