The stock phrase for transferring is to change trains , Taka: I have to change trains in Shibuya . Of course in other contexts, we can manage to use your alternative: All the wheels fell off, so they had to change the train while the passengers waited on the platform.
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DavkettThough that use of change seems to work with some objects, Taka, ('change the color', 'change the outfit', 'change the subject'--all of which mean switching to another version of the same type --color to color, outfit to outfit, subject to subject) it doesn't work so well with train, or bus, car, and horse.