Many rims have a small indentation on them, which serves as a wear indicator. Once the indent has disappeared and becomes flush with the rest of the braking surface. If you notice any cracking near the eyelets or holes where spokes enter, that is another reason for new rims.
Switching to different brake style may or may not be cost effective. It would really depend on your current wheels- do you have really nice hubs? Can your fork/seatstay accept a disc brake caliper?