If you use the actual leaked Rom, you don't have to do anything special, you just need to run the update just like one you would download off of the HTC site. You only need to unlock your phone if you want to use a custom ROM.
I was scared *&^@# the first time I did an upgrade as well. Let's face it, we've all spent a lot of money on our phones and the last thing we want to do is screw them up. I will say, it's MUCH easier than it would appear. Just follow the instructions and your chances of screwing anything up is very small. Your chance of breaking your phone permanently is like 1 in a million.
If you DO get into trouble, just ask for help. I've found this group of people to be VERY patient and helpful with first-timers. So...get to flashing!
D