No, you don't have to go step by step. Just go to Software Update, and I'm pretty sure they have whats called a "combo" update. It will take care of everything.
Take it you mean OS X.5.6 as X.6 Snow Leopard is yet to be released.
If you are after the X.5.6 upgrade download the combo updater from here.
Mac OS X 10.5.6 Combo Update
It is a pretty big download.