To get good deformation is extra tricky for the MHX rig, because it needs to work not only for a single character, but for all characters that can be generated by MakeHuman. Eventually it should be possible to "bake" corrective shapes from pose engine data, but for the time being there is just one set of shapes, defined for the default character. To adapt the shapes to other characters, I now simply scale them with the size of the relevant limb. Here are some examples of bone deformation for different characters, without (red) and with (blue) corrective shape keys. We see that there are still some artefacts, especially for the toddler, but in my opinion deformation is better with than without the correction.
Blender has other means the deform a mesh. J P Bouza, of Blenrig fame, recommends using mesh deform rather than pure bone deformation. It does not seem practical to implement this for the MHX rig, since it requires a custom cage for each character. But if you are doing your own rigging, mesh deform is definitely something to look into.
Presently the corrective shape keys only work for the FK rig, due to a bug, or misfeature, in Blender 2.5. Namely, the rotational value of a bone is not updated when the bone moves due to constraints, so it can not drive the shape key. Thus, if we move an IK hand, the upper and lower arms move in the viewport, but their rotations are not updated and the corrective shape keys never kick in.
