I've done an upgrade not too long ago.
its fairly straight forward. Make sure you have a server backup and backup your current PXE folder in your express directory, SQL databases and jobs.
Install the SP to the server, I would do them in order if you can. but SP4 is fine i've been running it for a fair old time and its easy.
Once the install the SP you then need to install the updated PXE components to allow access to the those functions.
you will possibly have to recreate the shared PXE images i can't remember but either way its not too hard to do.
Job done, i know i didnt have any adverse effects on any of the steps from 6.9 through to sp4 granted there were gaps inbetween each for me.
As long as you have server backups you can revert back either way. if its a VM snapshot before you start.
but you should start looking at 7.1 also.