make a copy of your cfg files. (just to be sure) stop nagios.
get the source for the new version. recompile with the same configure options. configure, make, make-install and whatever you need. (avoid making the example configurations files)
start nagios and you should have the new version running.
At least this is how i did all my version updates
EDIT: you can even have to differnt nagios versions running (been there, done that). BUT i takes bit of attention for the startup script in init.d it's always called nagios so different installs would overwrite this file (make a bcakup of this one too).
Edited Sun Jan 15 2006, 09:16PM ]