Installing SX is an absolute piece of cake- it took me all of 20 minutes to get it running.
On the other hand, upgrading to Windows XP was a huge thrash for me. It consumed an entire weekend, and was basically about as pleasant as removing my left eyeball and pouring a pint of molten lead into my skull through the socket. If, on the other hand, you already have XP running- you're home free.
The single most important thing: if you are coming from W98 or ME, make sure that you have the latest W2K/XP-compatible drivers available for *every piece* of audio hardware you use, well ahead of time. Otherwise it's not going to come up very nicely. For me that was soundcard, midi interface, dsp card... think about it, and plan ahead.
Since you can have both dongles on the machine, you can still have both VST and SX available, and work on projects in either one as you like- the files bind to their native versions, so launching a 5.1 project brings up 5.1, and launching an SX project brings up SX. Since you can have them both available, there's no pressure to finish up old stuff, or move too soon. I still have both running, and will have for some time...