Minor Updates and Patches
Shibboleth SP patches and minor updates and patches are maintenance releases that address bugs and add forward-compatible features respectively. As a result, (barring bugs) you can safely apply such updates on top of your existing software without expecting anything to break or change behavior. Patches are a revision to the third version number (3.0.0 -> 3.0.1) while minor updates are a revision to the middle version number (3.0.x -> 3.1.x).
You should, however, be wary that relying on new features introduced in minor updates can result in a configuration that is not backward- compatible with older versions.
Applying Updates
The actual update process is platform-specific, but at this point, all of the supported packaging techniques include protection of configuration files across uninstalls or updates. Some platforms (e.g. Solaris) require a full uninstall/removal followed by a reinstallation of the new software. Others (e.g. RPMs) can be upgraded in place and simply restarted. The Windows version includes a "postinstall" ZIP file that can be used to bring any installation of a particular major release (e.g. 3.x, 2.x) up to date. If you have specific questions, you can ask on the users@shibboleth.net mailing list.