Hi Derek,
You can upgrade directly from 2.3.3.6 to 2.3.6.2. Be sure you make a backup of your site files and database before upgrading. There have been a lot of changes since 2.3.3.6 so be sure to review the release notes in the blog for each version so that you can be aware of any changes that you will have to make to your site skin and/or settings.
Also, it is always good to understand the content on this page: http://www.mojoportal.com/upgrading.aspx.
For a quick rundown of skinning changes, see this post: http://www.mojoportal.com/Forums/Thread.aspx?pageid=5&mid=34&ItemID=4&thread=5160
HTH,
Joe D.