I get my ROM info from XDA Devs. On the ROM thread, it will specify what is required to go to the next version. Typically, esp. if you're jumping a few versions, you need to do a wipe. And yes, you kinda have to set things back up. Get Titanium Backup in the Market to help make that easier!

 

Here is what I would do: in addition to backing up with Titanium, make a Nandroid, do a Dalvik cache wipe and flash Kaos V39 without doing a data wipe. If it works after a restart, you are all set; if not, go back into Recovery and either do a data wipe, or Nandroid restore what you had before.