"I have heard that updating to a 9.2.1 should be done before the 9.2.2."
That is correct per the "Read Me" file. However, in order to get to OS 9.2.1 update, you must update OS 9.1.
OS 9.1.
OS 9.2.1
OS 9.2.2
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However, if you purchase the universal full installer OS 9.2.1 CD you can just go from OS 9.0.4 to OS 9.2.1 & then update to OS 9.2.2 from Apple's download site.