Churros in SF
I don't know of any good churros at Alemany. There has been someone in the past walking around selling them, but they're the same ones sold on the street (the giant pile covered in foil). They're usually cold and way past good.
Every so often, I buy a churro at La Cumbre Taqueria and I really like them (not the filled ones--perish the thought). They shatter even though they were made a few hours previously.
There's a torta place on 24th near York that says "hot churros" on the awning. Went in and asked for churros and they looked at me like I was nuts.
La Cumbre Taqueria
515 Valencia St, San Francisco, CA 94110
I don't know of anywhere in the city that makes them fresh all the time - many places it depends on when you get there.
One place to try (on Sundays) is the bakery on the corner of Florida and 24th, diagonal from La Palma Mexicatessan. I believe it's only Sundays that they have churros, and they are pretty good.
However, no churro I've had in SF compares to the churros I had in Fruitvale in Oakland. That was my first thought when I read your post - hop on BART and go to Fruitvale where you can get them fresh.