Wordpress Categories: Do You Use No Index With These?

Hello Warriors

I have an issue with WP categories..

I got adviced many times to use keywords for the titles of categories, which means apparently that they should be adjusted to be indexed by SE

On the other hand, I have a concern about letting the SE index the categories, as I believe my posts will be now indexed twice, which leads to double content penalty.

What I mean is that:

If my individual post is indexed as www.myblog.com/mypost
But if my categories are indexed, now the same post will appear in the SE under another url: www.myblog.com/category/mypost

More worse, if I categorize the same post under 2 different categries, the post will have an additional third url:
www.myblog.com/category2/mypost

I think this will easily trigger the duplicate content SE police (the same content appears more than once on the same site)

Does anyone have ideas about this issue?

Currently, I set "All in One SEO" plugin to add a "no index" tag on my categories, but I wonder if this is correct, or may be I harm my own blog by this?

Help is really appreciated!

Thanks