This is presumably when booting into a native graphics mode (IntelGMA or nvidea)? If so, you should be able to change screenmodes 'on the fly', but as noted all windows needs to be closed, including the dock window at the bottom of the screen. You can easily hide this (and bring it back) via ctrl-t, although after hiding and changing resolution sometimes you hve to swith the Wanderer mode from backdrop to windowed to backdrop again to see it. Oh, and all this is for Wanderer as the 'Workbench' rather than Magellan; I'm not sure if having Magellan running causes a problem.
Cheers,
Nigel.