My excitement for Lightroom 4 wained a little when I realized there was no easy way to make a proof book using the new Book Module. The big sticking point was there was no way to include filenames. I contacted Blurb and they didn't really read my emails - but directed me toward a video on how to make a book. (It wasn't in that video). I then contacted Adobe - their solution was to copy each filename into each caption cell. With a typical event being some 1,000 plus images? I don't think so. I had to come up with a work around to easily convert a collection of images into a nicely printed proof book - with filenames!
Here is how to do it: