The process you describe is the traditional approach and it is a problem.
Having done considerable googling on the subject I have come up with a potential alternative:
Remove most of the water with a hydrocyclone.
Crack the cell walls with ultrasonics and/or microwaves.
Transesterify the still-wet goop with super-critical methanol.
Recover the excess methanol with a flash drum.
Separate the biodiesel, glycerol, remaining water and algae residue with another hydrocyclone and settling tanks and filters.
None of this is very energy intensive and is conducive to a continuous process.
All the elements are known to work (though not necessarily with algae) but as far as I know no-one has put them all together. I'd like to see someone try it, so it is my gift to you Slashdotters!
Another important element seems to be coming along nicely: efficient conversion of glycerol to methanol. Turn the main by-product into a feedstock.
The potential of algae is much greater than the hurdles, I think.