It depends on how different the new one is. If the ROMs are sufficiently similar you can just flash the new one over the old without a wipe. Otherwise it's a case of installing from scratch: back up apps and data, boot into recovery, take a nandroid backup, wipe, flash new ROM, restore apps and data (but not system data).
If they've changed the ROM name that suggests that it's more likely that you need to go the second way, but that's just a guess. If they don't say, then you can try flashing without a wipe, and if there's a problem go for a wipe and reflash.
Whatever you do, take your app/message backups and your nandroid backup before doing anything.