There are two things you need to remember as far as I remember about the top of my head.
First, make sure that the .cfm file itself is saved as UTF-8 - this is a file system option and will probably be installed in your editor. This ensures that UTF-8 characters are saved correctly when saving the file.
Another is that every .cfm file containing any UTF-8 text should start with:
<cfprocessingdirective pageencoding="utf-8" />
This ensures that ColdFusion delivers the page to the browser in the correct format.
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