Definitely backup your databases first. The biggest risk if something were to go wrong would be potential dataloss. If it is a virtualized evnironment already I would also take a backup / shapshot of the 4.0 virtual.
You will want to follow the instructions in the Implementation guide. You can download it here:
http://www.microsoft.com/downloads/en/details.aspx?FamilyID=9886ab96-3571-420f-83ad-246899482fb4
open the .CHM file and search for "Upgrade from Microsoft Dynamics CRM 4.0"
That is the title of the included article you want. There are instructions for 32bit environments and for 64. Since 32 bit environments have to be upgraded to 64 first.
Jamie Miley
http://mileyja.blogspot.com
Linked-In Profile
Follow Me on Twitter!