Using Monte Carlo methods we investigate the thermally activated magnetization switching of small ferromagnetic particles driven by an external magnetic field. For low uniaxial anisotropy one expects that the spins rotate coherently while for sufficiently large anisotropy the reversal should be due to nucleation. The latter case has been investigated extensively by Monte Carlo simulation of corresponding Ising models. In order to study the crossover from coherent rotation to nucleation we use a specially adjusted update algorithm for the Monte Carlo simulation of a classical three-dimensional Heisenberg model with a finite uniaxial anisotropy. This special algorithm which uses a combined sampling can simulate different reversal mechanisms efficiently. It will be described in detail and its efficiency and physical validity will be discussed by a comparison with other common update-algorithms.