You can manually change the address through Etsy's shipping label system right before you print the shipping label. It will not save those address changes, so you can't change the address and then come back days later, it does revert back to the original address.
The one thing that you CANNOT change on the address is the country. If they purchased with an international address and want it shipped to a friend in the US, that doesn't work through Etsy. You may be able to do that via Paypal, or just go to the post office and hand write the address.