I'm still investigating if it will work, but there's a great feature in SQL Server Management Studio that may save my day.
In SSMS go to Options -> Designers -> Table and Database Designers, check "Auto generate change scripts" and uncheck "Prevent saving changes that require table re-creation".
In object explorer, go to you table and select the column that will get the Identity specification. Right click and select modify. In the Column properties panel, expand the tree "Identity Specification" and change "(Is Identity)" to yes. Now on the upper left size, select the icon "Generate script". Pay attention to the warning messages.
Now you will have a generated script that will drop all your constrainsts, recreate the table with identity, and recreate the constraints. WOW!
I'll test it and post here my results.
Update: Everything worked fine. I forgot to say in the question that I need the script to reproduce the modification in our clients instalations.
This site is really fantastic. The time I spent to write my own answer I got 3 others!