Yup, good point. I often notice that compressed, shrunk JPEGs I prepare for online viewing don't really reflect the graininess of the original. JPEG compression can make a photo seem virtually grainless when the original was far from that.
Unfortunately I haven't found a digital grain filter that even approximates the real thing. Sometimes when I want to demonstrate the grain I'll attach a small, 1:1 segment of the original to the JPEG.
What can also help to preserve the appearance of the original grain is to resize the image in steps, tweaking and sharpening it with each resizing.