kanji note: 乗り換える
The stress of なければならない is close to that of "must"/"have to" in English, so there is a nuance here that there's no other (sensible) way to get there (i.e. oh, there's no direct route from here, you have to go to Nagano station and change to the bus).
You can also use Xに行くには when talking about directions. A simpler way of saying "To get to Nozawa Onsen you change to the bus at Nagano Station" would be just:
野沢温泉に行くには、長野駅でバスに乗り換えます
(you don't need to specify what you change from or anything like that)
To specify that you're specifying/suggesting a particular route, 乗り換えるといい 乗り換えると便利 乗り換えるほうがいい etc.
You often see なければなりません used with travel when the route is complex, inconvenient, requires you to get up early, etc.