Overriding a class from the ‘Controller’ folder won’t help you at all.
These are never instantiated. They are just there as parent class for other controllers, to avoid duplicate some methods.
If you override them then the controllers called by the application (the ones in ‘controllers’ folder) will still extend the original class that you override. => no effect.
The best think you can do is to copy the class from ‘Controller’ folder in you local folder.
Here is an example.
/app/code/core/Mage/Adminhtml/Controller/Sales/Creditmemo.php => /app/code/local/Mage/Adminhtml/Controller/Sales/Creditmemo.php
and modify the copy to fit your needs.
By default Magento looks for a class in the local folder first instead of ‘core’ folder.
The downside of this is that on any future upgrades if there will be any modifications in the original ‘core’ file they will not be available for you.