What you decide to do may depend on how your URLs look like now and whether they point to:
1) a physical file on the server (e.g. some-page.html) or
2) to a database driven script with parameters in URL (e.g. somescript.php?param1=a¶m2=b).
In the first case I would agree with jimbeetle and johnhh that changing URLs just to add keywords in URL is probably not worthwhile. But if you do so, then you do as Lucy24 said: you rename physical file on the server and you implement 301 redirects from the "old" URLs to new changed files on server.
In the second case changing URLs may have some other benefits: you avoid the order of parameters issue that may generate duplicate content and URLs may look more attractive to a visitor, encouraging click-through (providing that the new URLs do not look spammy). If you create nice short URLs, then you can also avoid the problem of .. in URLs which may happen when scrapers scrape the SERPs and Google picks up such URLs from scraper listing. If you are on IIS then with a good design of your new URLs you may avoid the capitalisation issue in URLs that IIS suffers from.
For the second case, to change URLs you need to combine redirect with rewrite, that is, you need to internally rewrite the request for a "new friendly keywords rich" URLs so that the request is forwarded to the script that generates the page, inclusive of parameters that script would need for this particular page. You also need to set up 301 redirect from old URLs (with parameters) to a new friendly URL.
For the second case this would result in:
- request for an old URL (script+parameters) responding with 301 to a new friendly URL
- request for a new friendly URL resulting in request being internally "translated" i.e. rewritten into the format script+parameters and forwarded to this script which would build the page and respond with 200 OK
In both cases you should also change internal links on your pages to point to a new URLs, so that clicks from within your website do not go via redirect.
To answer your second question:
Are the any ways which could allow us to make our URLs look pretty without loosing anything?
Google will need to "process" not just your new URLs but also the old ones in order to see the redirect. This may take some time, depending on the size of your site and how often it is being crawled.
If you implement your changes technically correct, you will probably see temporary drop, but usually afterwards comes the recovery. If change of URLs has also addressed some other issues such as duplicate content created (for example) by order of parameters in URL, then you may also see an improvement. Following Google processing the redirects, the PR should be transferred to new URLs (minus the damping factor of, according to Google's Matt Cutts, about 15%), but you will not be able to see that in visible toolbar until Google exports PR to toolbar again.