The problem is that if the ROM is using a different base from your current system software it's likely that your current settings or system apps' data are incompatible with the new ROM. This might result in minor, obscure bugs, or it might result in the phone not booting at all. That's why the advice when flashing a custom ROM is to do a factory reset first (i.e. wipe data, cache and dalvik cache), because that removes data which might be incompatible.
So the procedure is to take a full set of backups before flashing, i.e. both a nandroid backup (made with your custom recovery) plus a backup of your apps and data (Titanium Backup is the tool of choice for most - the paid version will even back up SMS in a format that can be restored to a new ROM, the free version will not so bear that in mind). Make sure that the vital information is backed-up, contacts synced (or exported to SD), before doing the wipe. Then after installing the ROM you can reinstall your backup app then restore your backups (but user apps and data only, not system apps). If anything goes wrong, go back into recovery and restore the nandroid and you are back to where you were before you started.
You could try flashing without wiping data (wiping cache and dalvik I really would do regardless - you won't lose anything doing that). At best it might save you the hassle of restoring and setting up, but if you have any problems you need to go into recovery and then do the proper wipe. If you are flashing a ROM based on a different Android version, or one that is based on AOSP rather than Samsung's Touchwiz, don't waste your time trying this though, just do the wipe first time (especially if you want to try a non-Touchwiz ROM, as there is absolutely zero chance that will work without a wipe).
Now I know nothing about Odin, because that's a Samsung-only tool. For device-specific help it would be best to ask in our S2 root forum. Unfortunately the S2 is one of those devices where we have different forums for different versions of S2, and I don't know which one you have so cannot provide a link or move the thread there, but you'll find them in the
Android Phones section of AF.
