Well, first think, wheter you really need newer version:) And then if you want to have newer one you can just replace DISKBOOT.BIN and/of PS.FI2 files with their new version. Usually you don't have to replace any other thing.
The only exception is when some things from /CHDK directory are changed.
In all cases you can save (backup) your configuration file - CHDK/CCHDK.CFG and then when you have to replace whole CHDK you can just put this file on SD card again to CHDK directory. This file keeps your whole configuration.
PS. Above is true for CHDK 1.0 release, from autobuild server. If you want to use unstable releases from trunk, which you have to compile on your own there might be more changes in other files (modules) and not whole configuration is kept in CCHDK.CFG file.