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Generally best to uninstall. I've installed over previous versions with no issues before, but a clean install is best. Obviously you don't need to delete any of the stuff in your Documents (save games etc.) though some may be incompatible with the current version.
 
Obviously you don't need to delete any of the stuff in your Documents (save games etc.) though some may be incompatible with the current version.

It is always recommended to delete everything to do with the mod before installing a new version. Save games will very rarely be compatible between versions (definitely no previous version svaes will work with 0.6) and having that folder present can cause problems.