Yes, you can update the database as you suggest. You would also want to merge the group cache as well, as this is what is used to show the latest event. you may even be able to get away with editing the group_id of the old events.

Personally, in this situation I leave the old number on the contact and add the new one. Yes they appear twice in the conversations...but usually it gets pushed off the bottom fairly quickly as more people communicate with me. the only downside is that the N900 doesn't show which is the "default" number. Something I plan on fixing if I ever get around to replacing that UI.