Absolutely there is another way, and IMHO, a better way.
I move HD shows to a Philips DVDR, which preserves 16:9 but requires 480p, so I am constantly moving between 480p and 1080i. So these are the two resolutions that I have programmed.
If you obey the nag screen and just hold the button down long enough, while that will accomplish moving the unit to an SD rez, it also does one other particularly nasty thing: IT REMOVES ANY HD RESOLUTION YOU MAY HAVE SET UP IN PREFERENCES PERMANENTLY, which means if you want to go back to HD, you have to drill back down into the preferences all over again to set whatever HD resolutions you had set previously. You will not be able to access them from the "format" button again until you do this.
I get why they do that; some customers are otherwise completely clueless and the sticking point for them is getting the unit into SD mode one time to get a HD DVR to configure to a SD TV. But the way they do that is both arrogant and annoying (not to mention poorly implemented and not well thought through) for the customers that actually do know what they are doing and might want to go back to an HD rez on occasion. Folks like you and me, who may have multiple HD and SD destinations we want the DVR source to target at different times.
So, if you have a programmable remote, I think this is doable. Just set a macro that "virtually" presses the format button a fixed number of times. This works best if you settle on just two resolutions, one SD and one HD, as I have (I use 480p and 1080i). IIRC, there are the same 4 or 5 flavors of each, meaning that you should be able to use the same macro to get from HD to SD, as you would use to get from SD back to HD. If not, just use a different macro for each.