Practically speaking your themes, songs etc will remain available, there may be actual changes to the format of the databases they are stored in.
When you upgrade you are given the option to make a backup of your data, it is strongly recommended that you do this.
I would recommend that if you want to try a new version that you initially do this using the portable version of if OpenLP as this has it's own data and settings. When you are confident that the new version works with your pattern of working you can then upgrade your installed version.
