The simple answer is no, you cannot convert monounsaturated/polyunsaturated fats into saturated fats through cooking alone.
Before I can even begin to answer in detail, I have to start by pointing out that "saturated" and "unsaturated" fat is already an oversimplification. These are very rough classifications of fats and the chemical reality is far more nuanced. I'd encourage you read the Wikipedia entry on Fatty acid for a relatively basic explanation.
Fatty acids are actually classified, chemically, in three different ways:
The existence of double bonds (CH=CH) somewhere in the molecular structure. Fatty acids with double bounds are unsaturated. Fatty acids with single bonds only are saturated.
The chain length (number of Carbon-Hydrogen groups). Another distinguishing characteristic of saturated fatty acids is that they are generally (maybe always) long-chain. The reverse is not necessarily true, however; not all long-chain fatty acids are saturated.
The configuration, either cis or trans. Trans fatty acids are not actually a different type of fat in the same sense as saturated vs. unsaturated; they are actually unsaturated fatty acids, just in a different configuration.
Although certain studies suggest that it is possible to create TFAs from edible oils with prolonged heat, it is also extremely difficult, to the extent that it's nearly impossible to do in meaningful quantities by accident. I will refer you to this study of heat-induced cis/trans isomerization which says that after 8 hours of heating at 180° C, the researchers found up to 6.5 mg of trans isomers per 1.0 g of oil, which comes out to a grand total of 0.65% by mass. This is practically nil as far as a home cook is concerned - these quantities only matter if you're doing commercial processing of vegetable oils, or maybe if you're using the oil for deep-frying and you reuse it dozens of times (far beyond what any experienced fry cook would recommend).
The study also says that edible oils (i.e. the ones you cook with) experienced less isomerization than other kinds. So really, the amount of isomerization you're going to get (conversion of the "good" cis isomers to "bad" trans isomers) is minuscule and simply insignificant as far as mainstream baking or frying applications are concerned. So forget about trans fats.
Can you create saturated fats? That would effectively mean breaking down the double bonds into single bonds. In order to do that, you need to add hydrogen (that's why saturated fatty acids are "saturated" - more hydrogen).
There's a name for this process, which you actually stumbled upon in your question. It's called Hydrogenation. It's adding hydrogen atoms to an unsaturated (double-bonded) fatty acid.
Hydrogenation requires a substrate (involving benzene or some other hydrocarbon), a hydrogen source (that's pure, dangerous, H2 gas), and a catalyst (heavy metal). My guess is that your kitchen has none of those things, unless you're cooking in a chemistry lab. So there is simply no chance for you to accidentally hydrogenate your oils.
What you really need to be more worried about with oils (unsaturated fats) is lipid peroxidation. That's the oxidative breakdown and, eventually, rancidity of fats, and polyunsaturated fats are particularly prone to this. Heat is a catalyst for peroxidation, so if you "burn" your oil (or other fats), you may end up creating the same sorts of free radicals normally associated with rancidity due to improper storage. The long-term effect of these free radicals is not firmly established but the consensus seems to be that they aren't good for you in the long term (cancer risk and so on).
So don't worry about converting your oils when you cook with them. It's practically impossible. You should be more concerned with overheating them or letting them go rancid in storage.
Best Answer
SAJ14SAJ's answer is very good for the basic case. There are a few exceptions.
First, if you have an ingredient which is partly discarded, it can be hard or impossible to find out what part ended up in your final food. If you deep fry vegetables in oil, you will have to calculate the change in oil weight to find out how much oil got absorbed. Worse, if you soak cookies in milk, the cookies will absorb lots of whey, but no milkfat, and probably no lactose. On the other hand, some of the sugar in the cookies might get leached out into the milk. So, in this case, you can't get a good calculation even if you measure the amount of milk you throw out.
Second, if your cooking process involves fermentation, all bets are off. Yeast and bacteria will eat some of the carbohydrates, but not all. They will convert them to alcohol (which has calories) and carbon dioxide (which does not have human-digestible calories). It might be a small error in something like bread, where there are so many carbohydrates that the amount eaten by the short fermentation is noise. But if you are fermenting liquids with relatively little carbohydrates (kwass, alcoholic drinks), the result will be very different.
Third, alcohol also has calories (about 7 per gram). In most recipes, a part, but not all of it, evaporates during cooking. You can't control well for that, and it can make a significant difference in dishes with lots of alcohol, like coq au vin.
Fourth, the rule will hold for the macronutrients (carbohydrates, protein, fats) and their energy content (calories), as well as some stable micronutrients (predominantly trace minerals like calcium). Fragile micronutrients such as vitamins can break down during cooking. Also, if you are interested in a specific subtype of nutrient, that can also change. For example, you can start out with sucrose (table sugar) and end up with a mixture of glucose and fructose. This will still be the same total amount of carbohydrates, but for some diets, the difference in sugar type is important.