1. at the next station, otherwise OK. You'll have to transfer would be preferred by many. 2. ... change trains at the next station. In the next station seems to imply that you are inside the building when you change trains.
In the second sentence, 'the trains' is okay? Or, should it be 'the train?' When I use the verb, 'change,' I wonder whether the object must include both the train that a questioner is boarding and the other train that he/she is going to transfer to.