Test the system (hopefully you have a sandbox client in your development box). You must release the transports once you're done applying the support packages. If you have a quality assurance box, import the support packages there and import the transports from development so you don't have to make adjustments manually again.
Import the support packages in your production box and import the transports (if any) from development. Do not apply support packages to all systems simultaneously -- always do this first in your development environment. Make sure enough testing is done and that business users sign off their test scripts before you import into production.
Keep in mind that there's no "undo" functionality. You have to restore from a database backup in order to bring the system back to its previous state.
This was first published in June 2005