With a little bit of jquery this is easily done:
http://stackoverflow.com/questions/901909/change-html-text-from-link-with-jquery
In your case, an example would be:
<script type="text/javascript">
jQuery(document).ready( function() {
jQuery('.month_name a.prev-month').text('new text');
jQuery('.month_name a.next-month').text('other text');
});
</script>
In the next version of EME this can be added in a new setting called “eme html footer”, so you would not need to change your theme for this type of things.