There wasn't an easy way until 0.7. I just tagged the new release so you should see an update notice in your Dashboard soon. I've included a file in the 'edit-author-slug/includes' folder named 'caps.php.' This file will give you a jumping off point to give other users the ability to edit their own slugs. If you have any further questions about how to implement this, please feel free to post here again. I'll leave this thread open for a while in case you do need help.
As far as wp_die() statements, you're right. They can be abrasive. I was never really a fan, but the WP_Error class isn't really a viable option, and because of hook order, neither is the admin_notices hook. Also, the "Profile" and "User Edit" pages both make significant use of the wp_die() function. I have, however, found another way to handle this case through WP with a bit more, so we'll see how that goes.