Sorry for spamming.  I swear I had worked on that problem a long time before
posting.  

But I just figured it out: I have to change the values, which are
represented as integers, not strings.  So the following code will do it:

df <- data.frame (
        a = factor( c( "bob", "alice", "bob" ) ),
        b = factor( c( "kenny", "alice", "alice" ) )
);
allLevels <- unique( c( levels( df$a ), levels( df$b ) ) )
for (c in colnames(df)) {
        df[,c] <- match( df[,c], allLevels);
        levels( df[,c] ) <- 1:(length(allLevels))
};

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