neill,
I struggled with bump maps too. I still don't really understand the logic behind how they work with the SU plugin settings, but with Sheik's help I was able to get them to work. Try these steps and see if it works for you:
1. paint face with SU texture.
2. Select face and set as Diffuse material.
3. With face still selected, pick Bump Map and select same jpeg for bump map.
4. Go back to Maps > Set Maps > set SketchUp map type to diffuse and enter a bumping strength of say 100 or so. Enter a negative bump value if the part of the bump you want to recede is white.
Export and it should work, I hope