Forgive my silly question, but what is the correct and clean procedure of updating Houdini to newer minor version, like 582 to 621?

Can I only choose to install the Main Application and uncheck all other if I already have them installed?
Or maybe it's best to reinstall everything?

The installation of a new Houdini version is completely independent from any existing version of Houdini you may have on your system, therefore you will always need to do a full install when updating. Assuming you have no further need for the old version, best practice when updating is to run the included uninstaller in the Administrative Tools folder inside your Houdini install folder prior to installing the new version, otherwise you will end up with two different versions of Houdini on your computer.

If you want to be safe, maybe keep 1 old version around so that you always have something to go back to. Once you have 3 installs, you can uninstall the oldest one.

Thanks, guys.