If you followed our most recent guides to installing Snow Leopard on a PC from start to finish or the updated guide to building a Hackintosh with Snow Leopard, no hacking required, you'll be happy to know that I've tested my build with today's 10.6.2 update to Snow Leopard and it's working like a charm.
That means you shouldn't have to do anything special to upgrade to the latest and greatest. Just fire up Software Update like you normally would, grab the update and let it work its magic. The only oddity to report is that when the update finished, the audio output was set to Headphones; just open the Sounds preference pane in your System Preferences and set it back to Line Out and everything should be back to normal. Keep in mind that this only applies to the build I detailed in my start-to-finish guide; I can't vouch for any other Hackintoshes out there.
Update: I thought we were pretty clear in the text above, but we're only talking about our Hackintosh build. It looks like Atom CPUs (like the ones in most hacked netbooks) are not supported in 10.6.2 as previously speculation suggested.