hydtools,
cold working is a stadnard industry practice for improving the fatigue life of a details, google ForceMate, Fatigue Technologies Inc (not that i'm selling their products). you're right that the surface compression also creats sub-surface tensions but fatigue failures generally start at the surface and the surface stresses induced are much higher than the tension stresses ('cause they act on a smaller area). that being said, you need to be aware of the tension stresses, to avoid stress corrosion cracking (typically what happens if the tensions stresses "leak" out to a surface.
and generally cyclic compresion stresses don't cause fatigue, though they can cause a relaxation of the compressive stress field (hence loosing the effect you wanted in the 1st place).