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Download, compile, install, copy config, switch your system to us the new version.
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That is the nuts and bolts of it. However, it isn't necessarily this simple as following that procedure may have unintended side effects. Are you using any particular distribution? Is the desired version in the standard package repositories? If not, is it in the developmental repositories?
If you currently have a package-maintained version installed, downloading and installing one from source may cause conflicts. You will first want to remove the existing package while saving your existing configurations beforehand so you can migrate them to the new version. If you install a version from source, you will also become responsible for maintaining that package as you won't get the automatic package updating.
I think you should consider why you wish to upgrade if your package is using a prior version. Is there a feature that it provides that you need and currently don't have? Unless there is a compelling reason to upgrade, you may be better off waiting for your packages to support it.
