Welcome to Administering SMP 7.1. In addition to what the others have said, we really pay attention to the release notes for anything Altiris related. There are some Rollups that we have not installed becuase we weren't experiencing the issues that the update fixed (we've found that some rollups introduced issues that we didn't have before). Our current version is SMP 7.1 SP2 MP1 Rollup v3.
Along with paying attention to the release notes, make sure you have a test environment that you can run the HF/RU/MP/SP on that NS first before you install on your production system.
To answer your question, whenever an update needs to be pushed out, the NS is upgraded first, and then if agents need to be updated, you turn on upgrade policies in the NS console.