I wanted to see a final episode where alf turns from alien to a human being by the last episode of the season 4.

http://www.youtube.com/watch?v=v31S3563Bcw

Interesting. I think that would've defeated the whole purpose of the show though, although I'm sure even in human form, Gordon Shumway would still be the alien equivalent of "Encino Man"- having to learn about human culture and society and in particular, American society and culture.
The last few issues of the Marvel "ALF" comic book actually did sort of do this very same thing you've mentioned. For an alternate take on the last episode of the series (as well as the "Project: ALF" follow-up TV-movie) I would highly recommend checking out "ALF" issues 47-50.

If alf was human they wouden't have to hide him from other people

I like the solution "Project: ALF" presented better- the military was able to come to grips with ALF and accept him as a Melmacian ambassador to Earth- I think it's better that they accept him as an alien race and not have to make him conform to humanity so much (other than learning to not eat cats, of course-;) but ALF came to that conclusion on his own in any case in a later episode of the show.)

Yeah they grew to like him as an alien good show