Forcing Management Studio to use ALTER TABLE instead of DROP/CREATE

Yes you can!

In SQL Server Management Studio, go into the table design mode for the table in question, and make your changes. However: do not click on the "Save" button, but instead right-click in the table design view, there should be a "Generate Change Script" item at the end of your context menu.

Click on that menu item and you'll get presented a pop-up dialog box which contains the T-SQL script needed to do those changes that you made to the table in the designer. Copy or save that T-SQL code, and cancel out of the designer, and voila - you have your change script!

UPDATE: Marco, sorry, I don't think there's any option to change the default behavior, at least not right now. You might want to file an enhancement request with Microsoft on Microsoft Connect to propose that - good idea, I would think!

You can't change the behaviour, it's just that the default script it creates is not always the most efficient. It creates scripts in a format it knows will work, although frequently the results will be slow and resource-heavy. I recommend you get used to creating the script for all changes yourself as you can better optimize it. There's nothing wrong with what you've created (providing you have no existing constraints/dependencies on MyCol2 that would be invalidated by it becoming a nullable int)