Just found this simple and quite useful plugin called Change Blog URL by Kt that allows you to change the URL of your WPMu blog with one click. I tested it out on UMW Blogs and it works flawlessly with version 1.25a.
This plugin allows blog user to change their blog URL from existing one (subject to availability). The admin page can be access at Option->Publishing. This plugin simply modify 4 fields, three fields in user blog option table and one in the wp_blog table. When user enter a new blog address, the plugin will check for rule that apply when one sign up for a new blog.