Before I jump into the steps you'll want to take when updating your ROM I thought it would be a good idea to explain that there are two types of Roms. The first type if your Official ROM's, these are upgrades that have been authorized by the cell phone manufacturer and wireless carriers for use on your device. Many times you'll see these official Windows Mobile Upgrade ROM's announced on your carriers site, or the site of the device manufacturer. By visiting their sites you can download the ROM to your computer or use Over the air programming to update your device with no download needed.
The second type of ROM is the "unofficial Rom" these are available upgrades based on your device type that are in no way supported by the device manufacturer or wireless carriers. In this case a developer has simply created their own upgrade to the newer mobile OS version and has released it without consent from Microsoft or the carrier. While these ROM's are often fine for general use, they are not supported by the carrier and will void your devices warranties.
Official ROM's are obviously safer for use, although I have used some Unofficial ROM's that actually performed at a higher level, which type of ROM you choose to use is up to you.