How do I place leading zeros for numbers less than 10 without affecting those 10+?
The safest way is probably to only add zeroes when the length of the column is 1 character:
UPDATE
Table
SET
MyCol = '0' + MyCol
WHERE
LEN(MyCol) = 1;
This will cover all numbers under 10 and also ignore any that already have a leading 0.
EDIT
To just select the data try:
SELECT
MyColPadded = CASE WHEN LEN(MyCol) = 1 THEN '0' + MyCol ELSE MyCol END
FROM
MyTable;