This study will test whether certain patients with myelodysplastic syndrome (MDS), acute myeloid leukemia (AML) or chronic myeloid leukemia (CML) can safely be vaccinated with two peptide vaccines derived from proteins called proteinase 3 (PR1) and Wilm's tumor-1 (WT1). These proteins are produced in large amounts by cells of MDS, AML and CML patients. The peptides are combined with an "adjuvant" called Montanide to make the vaccines, and the vaccines are given with GM-CSF (sargramostim). Both Montanide and sargramostim help the immune system respond to the vaccines. The vaccines then activate the immune system to make specialized cells that search out and kill the MDS, AML and CML cells containing the two proteins.