I usually keep the previous one just in case something funny happens with the current release. Every now and then (very rare), Apple sends out a bad updater that doesn't work very well with certain iPods. This is playing it very safe though.
FWIW, this has only been relevant for me once with my 4G when an updater made the iPod appear as a disk image on the Desktop rather than as an iPod. I didn't lose any functionality though.