SqlFunctions.StringConvert will work, but I find it cumbersome, and most of the time, I don't have a real need to perform the string conversion on the SQL side.
What I do if I want to do string manipulations is perform the query in linq-to-entities first, then manipulate the stings in linq-to-objects. In this example, I want to obtain a set of data containing a Contact's fullname, and ContactLocationKey, which is the string concatination of two Integer columns (ContactID and LocationID).
// perform the linq-to-entities query, query execution is triggered by ToArray()
var data =
(from c in Context.Contacts
select new {
c.ContactID,
c.FullName,
c.LocationID
}).ToArray();
// at this point, the database has been called and we are working in
// linq-to-objects where ToString() is supported
// Key2 is an extra example that wouldn't work in linq-to-entities
var data2 =
(from c in data
select new {
c.FullName,
ContactLocationKey = c.ContactID.ToString() + "." + c.LocationID.ToString(),
Key2 = string.Join(".", c.ContactID.ToString(), c.LocationID.ToString())
}).ToArray();
Now, I grant that it does get cumbersome to have to write two anonymous selects, but I would argue that is outweighed by the convenience of which you can perform string (and other) functions not supported in L2E. Also keep in mind that there is probably a performance penalty using this method.