Bump mapping has really been replaced by normal mapping as a standard, these are created as textures based on higher polygon models. At least that's how the pro's do it, it's fairly complex stuff.
Most people just use a converter, using your greyscale image you would create a normal map texture from that, just do a google search for 'bump map to dot3', or 'bump map to normal map' - I expect someone will have a link to a good converter before very long though.
Normal maps use the red green and blue elements of each pixel to control lighting, just like your model has normals, each pixel on your texture can have a normal as well - giving the model a much higher lighting detail.
I suggest you find some normal mapping shader examples, they tend to do a much better job than the built in effect. There's dozens of them, might be best to get the ultimate shader pack to start with. There's some really nice effects made possible with normal maps, refraction for example, and some really nice water effects using the normals to replicate waves.
