There is no upgrade procedure. You install R2015b as well, and when you are satisfied that everything is working you can delete the old version if you want to. You will usually find, though, that it is useful to keep the old version around, especially with the changes to the graphics routines that were brought in in R2014b.
The first time you start up the new version, it will find your preferences for your old version and import them.
If you use Simulink you should use the model upgrade advisor on your models if you intend to work with them in R2015b.
