Yeah, the adaptor is the way to go.
There's also a controller made in HK called Treamcast that is exactly like a Saturn pad.
If you want to make a mod it would be kinda difficult, you would need to use a suitable DC controller as a bridge and make quite a lot of soldering. Check the links thread:
<a href="http://www.neo-geo.com/ubb/ultimatebb.php?ubb=get_topic;f=5;t=002329#000000" target="_blank">http://www.neo-geo.com/ubb/ultimatebb.php?ubb=get_topic;f=5;t=002329#000000</a>
Specially this one:
<a href="http://dumbass.hypermart.net/presents/dc/marvins/tutorial/NES/nes.htm" target="_blank">http://dumbass.hypermart.net/presents/dc/marvins/tutorial/NES/nes.htm</a>
It explains how to use a NES controller in DC, you should do the same but with a Saturn pad instead.