[EDIT: March 2016: thanks for the votes! Though really, this is not the best answer, I think the solutions based on withColumn, withColumnRenamed and cast put forward by msemelman, Martin Senne and others are simpler and cleaner].
I think your approach is ok, recall that a Spark DataFrame is an (immutable) RDD of Rows, so we're never really replacing a column, just creating new DataFrame each time with a new schema.
Assuming you have an original df with the following schema: 
scala> df.printSchema
root
 |-- Year: string (nullable = true)
 |-- Month: string (nullable = true)
 |-- DayofMonth: string (nullable = true)
 |-- DayOfWeek: string (nullable = true)
 |-- DepDelay: string (nullable = true)
 |-- Distance: string (nullable = true)
 |-- CRSDepTime: string (nullable = true)
And some UDF's defined on one or several columns: 
import org.apache.spark.sql.functions._
val toInt    = udf[Int, String]( _.toInt)
val toDouble = udf[Double, String]( _.toDouble)
val toHour   = udf((t: String) => "%04d".format(t.toInt).take(2).toInt ) 
val days_since_nearest_holidays = udf( 
  (year:String, month:String, dayOfMonth:String) => year.toInt + 27 + month.toInt-12
 )
Changing column types or even building a new DataFrame from another can be written like this:
val featureDf = df
.withColumn("departureDelay", toDouble(df("DepDelay")))
.withColumn("departureHour",  toHour(df("CRSDepTime")))
.withColumn("dayOfWeek",      toInt(df("DayOfWeek")))              
.withColumn("dayOfMonth",     toInt(df("DayofMonth")))              
.withColumn("month",          toInt(df("Month")))              
.withColumn("distance",       toDouble(df("Distance")))              
.withColumn("nearestHoliday", days_since_nearest_holidays(
              df("Year"), df("Month"), df("DayofMonth"))
            )              
.select("departureDelay", "departureHour", "dayOfWeek", "dayOfMonth", 
        "month", "distance", "nearestHoliday")            
which yields: 
scala> df.printSchema
root
 |-- departureDelay: double (nullable = true)
 |-- departureHour: integer (nullable = true)
 |-- dayOfWeek: integer (nullable = true)
 |-- dayOfMonth: integer (nullable = true)
 |-- month: integer (nullable = true)
 |-- distance: double (nullable = true)
 |-- nearestHoliday: integer (nullable = true)
This is pretty close to your own solution. Simply, keeping the type changes and other transformations as separate udf vals make the code more readable and re-usable.