im also running cm7 nightlies... im a big fan of cm in general,and of gingerbread.
most rom developers reccomend a full wipe between updates,but there isnt any harm in flashing the update overtop just like you do a cm nightly,with just a cache and dalvic wipe. the results may be anything from bootloops to working fine

so make sure you make a backup prior to flashing in case there are issues.
a couple days ago i flashed the newest incredibly re-engineered(2.3.3 i think) overtop of what i had(2.3 i think) and the only issue i noticed was wifi not working. i havent gotten around to flashing it on a clean slate to see if that was a prollem with the flashover,or an issue with that rom.
having said that,if you choose to wipe data between updates,backup apps like titanium backup or mybackup pro can make the job of updating alot easier. just make sure you backup all your apps and data,but no system settings. when im about to change roms,ill run a batch on titanium to backup all new apps and versions. then ill flash the rom and wait for the market to stop downloading what apps its going to. then if any are missing i run batch to "restore missing apps+data". when its finished all i have to do reset up my homescreens. its pretty fast and painless
one last thing on this subject... the nightlys arent something special that allow updates with no data wipe. i usually flash them over,but now and then its not a bad idea to start with a clean slate with them also.i started a few weeks ago at rc1,and somewhere around build#12 i was having some minor issues so the next one available i wiped clean and reset up. no more issues.
i guess the moral of the stories is that wipes are not always needed,try at your own risk,and while they may not always be needed,a clean install can freshen up a rom can be a good thing.