You can do this:
SELECT Right('0000' + CONVERT(NVARCHAR, 1), 4) AS NewFormat
SELECT Right('0000' + CONVERT(NVARCHAR, 2), 4) AS NewFormat
SELECT Right('0000' + CONVERT(NVARCHAR, 3), 4) AS NewFormat
SELECT Right('0000' + CONVERT(NVARCHAR, 4), 4) AS NewFormat
SELECT Right('0000' + CONVERT(NVARCHAR, 12), 4) AS NewFormat