Possible side effects when changing node type?
I've changed the content type of nodes directly in the database plenty of times and the only thing I've had to deal with is orphaned field data for nodes.

I think that this orphaned data might cause some false-positive results for certain query types (EntityFieldQuery springs to mind) but I can't be absolutely sure.

Instead of risk this I've always written a small script to go through the field tables in question and clear up any stagnant data after I've made the content type change.

I don't think you'll encounter any errors using node_load() and node_save() as you suggest; it would probably be wise to clear Drupal's cache once you've made the change in case anything needs to be updated there.