When I've done it, I do it like this:
WM2003SE to the Dell WM5 A01 using the Dell Axim x50v_A01 ROM updater. Once that process is totally finished (all done within Windows). This is what you see when you run it:
I'll then do the WM5 to WM6 or even the WM6.1 update using Lenny's WM6 or WM6.1 ROMs he's got out now by using the SD flash update method. I put the two files (the actual ROM and the crc checksum file) on a 1GB SD card with nothing else on it, freshly formatted and using FAT32 as the file system.
I was running the WM6.1 L11 beta earlier but since switched back to WM2003SE earlier today for some testing, but I'll be switching back to the WM6.1 L11 beta in a few days.
Here's why I do it this way:
There are two aspects to handling a ROM update/upgrade. The first is the bootloader which is what actually boots the Axim itself; it's the same concept as the BIOS on a regular computer. When you turn on the PC, the BIOS is the first thing to start up, and it does a POST (Power On Self-Test) to check itself out. Once that POST is complete, then it "hands off" the control to the OS, aka the boot process. They call it booting because it comes from the old saying "Get yourself started by pulling up your boot straps," hence we still call it "booting" the PC.
The second aspect is the actual ROM installation, which is important but nowhere near as important - in my opinion - as the bootloader. You can still fire up the Axim with a bad ROM on it, or a failed ROM update/upgrade and recover it by using the SD card loader method.
But if you screw something up and the bootloader itself becomes pooched, you're SOL, basically. If it can't boot up properly, it's a brick, plain and simple, so the bootloader is more crucial to the update/upgrade process in my opinion.
The bootloader used in the Axim for WM2003SE is old and incompatible with the newer bootloader used in WM5 and 6/6.1, they simply don't work together. So you can't mix and match bootloaders. The first stage of an update/upgrade adds the updated/upgraded bootloader for the ROM about to be installed, and then proceeds to have you hard reset the device so the bootloader kicks in - think of the update/upgrade as "firmware" if that helps you understand it better using the PC example (if you update the firmware/BIOS on your desktop, you have to power down and back up so the new firmware/BIOS goes into effect).
When the new bootloader kicks in on the hard reset, the upgrade process continues and the new ROM image is transferred over - the new bootloader "pulls itself up by its own boot straps" you could say and puts the whole update/upgrade in process.
So, in a nutshell, theoretically you
can go straight from WM2003SE to the WM5 or even WM6 or WM6.1 ROM of your choice, but my recommendation is take the additional time required to do a 2 stage update: from WM2003SE to WM5 and verify the Axim works, then go from WM5 to whatever. WM5 introduced the different bootloader, it's essentially the same for WM5, WM6, and WM6.1 but, if you decide to go
backwards and downgrade, you really should do it step by step in reverse meaning down to WM5 (if you're using WM6 or WM6.1) and then back to WM2003SE.
I'll admit I did a WM6.1 directly to WM2003SE with the Dell "revert" utility earlier and was expecting something to go horribly wrong, but it worked just fine - but again, it's that first stage of the upgrade or even the downgrade process that's absolutely crucial: getting the "new" bootloader in place correctly because without it, you'll brick the device forever and even the SD method won't help because that only works when the bootloader works.
Hope this helps, sorry to be so wordy but that's just how I am... ;)
Theoretically you should be able to go from WM2003SE to any ROM available, but... the recommendation is to use the Dell tools to upgrade the bootloader instead of hoping it'll work with the SD loader method, and also to downgrade using the Dell tool for that purpose also (what I used earlier to go from WM6.1 directly back to WM2003SE).