You can update your existing installation retain your torrent cache and DHT index by copying the files from a newer release asset on top of the existing files. Then run cove from the same location as you usually do. Your existing DHT index and torrent cache files will be reused.
If your cove install is out of date, cove should log a message to the terminal when it starts up, and may open to this page.
If you are on Windows, you should also download an updated windows ffmpeg asset if the version has changed, and extract it into the same directory as everything else.