I should have done it ages ago but I felt very lazy… It was my first upgrade and I was afraid I would lose all data, etc. So easy to make a backup… just back up the database and the custom theme. That was all I needed 
But I was not letting laziness beat me and here we are! WordPress 2.2.3! 5 minutes for the backups, 5 minutes to upgrade my local copy and 5 minutes to upgrade the real blog..
So 15 minutes in total and I feel much more prepared to start blogging regularly. This has been my first step 
