AMX Mod X uses rolling releases, and updates are continuous. Updates to stable versions of AMXX are small and non-disruptive. It is generally recommended to run the latest stable build, however, it is not necessarily urgent to upgrade when a newer build appears.
For general upgrades, you should make sure you:
Read the changelog!
Replace all binaries.
dlls, modules / *.dll/*.so - This includes amxmodx_mm and all modules.
plugins/*.amxx - Any default plugins AM