Manually doing the SQL changes and dump/reload are both options, but you may also want to check out some of the schema-evolution packages for Django. The most mature options are django-evolution and South.
EDIT: And hey, here comes dmigrations.
UPDATE: Since this answer was originally written, django-evolution and dmigrations have both ceased active development and South has become the de-facto standard for schema migration in Django. Parts of South may even be integrated into Django within the next release or two.
UPDATE: A schema-migrations framework based on South (and authored by Andrew Godwin, author of South) is included in Django 1.7+.