Does preparation of food change the nutritional content with respect to fat type?

The simple answer is no, you cannot convert monounsaturated/polyunsaturated fats into saturated fats through cooking alone.

Before I can even begin to answer in detail, I have to start by pointing out that "saturated" and "unsaturated" fat is already an oversimplification. These are very rough classifications of fats and the chemical reality is far more nuanced. I'd encourage you read the Wikipedia entry on Fatty acid for a relatively basic explanation.

Fatty acids are actually classified, chemically, in three different ways:

1. The existence of double bonds (CH=CH) somewhere in the molecular structure. Fatty acids with double bounds are unsaturated. Fatty acids with single bonds only are saturated.

2. The chain length (number of Carbon-Hydrogen groups). Another distinguishing characteristic of saturated fatty acids is that they are generally (maybe always) long-chain. The reverse is not necessarily true, however; not all long-chain fatty acids are saturated.

3. The configuration, either cis or trans. Trans fatty acids are not actually a different type of fat in the same sense as saturated vs. unsaturated; they are actually unsaturated fatty acids, just in a different configuration.

Although certain studies suggest that it is possible to create TFAs from edible oils with prolonged heat, it is also extremely difficult, to the extent that it's nearly impossible to do in meaningful quantities by accident. I will refer you to this study of heat-induced cis/trans isomerization which says that after 8 hours of heating at 180° C, the researchers found up to 6.5 mg of trans isomers per 1.0 g of oil, which comes out to a grand total of 0.65% by mass. This is practically nil as far as a home cook is concerned - these quantities only matter if you're doing commercial processing of vegetable oils, or maybe if you're using the oil for deep-frying and you reuse it dozens of times (far beyond what any experienced fry cook would recommend).

The study also says that edible oils (i.e. the ones you cook with) experienced less isomerization than other kinds. So really, the amount of isomerization you're going to get (conversion of the "good" cis isomers to "bad" trans isomers) is minuscule and simply insignificant as far as mainstream baking or frying applications are concerned. So forget about trans fats.

Can you create saturated fats? That would effectively mean breaking down the double bonds into single bonds. In order to do that, you need to add hydrogen (that's why saturated fatty acids are "saturated" - more hydrogen).

There's a name for this process, which you actually stumbled upon in your question. It's called Hydrogenation. It's adding hydrogen atoms to an unsaturated (double-bonded) fatty acid.

Hydrogenation requires a substrate (involving benzene or some other hydrocarbon), a hydrogen source (that's pure, dangerous, H₂ gas), and a catalyst (heavy metal). My guess is that your kitchen has none of those things, unless you're cooking in a chemistry lab. So there is simply no chance for you to accidentally hydrogenate your oils.

What you really need to be more worried about with oils (unsaturated fats) is lipid peroxidation. That's the oxidative breakdown and, eventually, rancidity of fats, and polyunsaturated fats are particularly prone to this. Heat is a catalyst for peroxidation, so if you "burn" your oil (or other fats), you may end up creating the same sorts of free radicals normally associated with rancidity due to improper storage. The long-term effect of these free radicals is not firmly established but the consensus seems to be that they aren't good for you in the long term (cancer risk and so on).

So don't worry about converting your oils when you cook with them. It's practically impossible. You should be more concerned with overheating them or letting them go rancid in storage.

Fats don't generally change structure as a result of cooking. As you heat up a fat, it's structure loosens, but doesn't fundamentally change. (Cocoa fat is an exception.) So no, how you cook your food will not create more unsaturated fat (unless you're cooking it in unsaturated fat).

I think deep frying makes foods harder to digest not because it makes chemical changes to the food, but because it 1) dries out the food and 2) introduces more fat from the cooking oil.

If you want more info on what saturated and unsaturated mean, and which fats are less saturated, On Food and Cooking has a short section with lots of good info.

I'm not sure if I understand your question, but if the question is "Can I turn a monounsaturated or polyunsaturated fat into a saturated fat through cooking?" then the answer is "No, you can not."

The process of saturating or unsaturating a fat involves breaking double bonds and adding hydrogen to the molecule. The more double bonds, the more UN saturated the fat.

This is all determined by the initial production of the fat. Animal fats are more saturated and certain 'desirable' fats are LESS saturated when they are created. There is no way that I know of to change this DURING the cooking process.

Extreme heat methods will make some chemical changes, but saturating the fat would involve breaking the bonds and adding hydrogen, and when this is done commercially it requires catalysts and other specific conditions.