The update is done over-the-air and is around 100MB, so if you don't have an unlimited data plan you should definitely use a Wi-Fi hotspot.
Quoted from: http://www.htc.com/europe/support.aspx
"Your phone will receive a notification of FOTA update when it is made available. Simply press OK to accept the update via a data connection such as Wi-Fi or GPRS/3G. After installing the update, you can confirm a successful update by confirming the Build number (From the Home Screen go to MENU> Settings> About Phone> Software Information> Software number). The new Build number after the update will be 2.36.405.5. Update: Android 2.3 upgrade. Note：Please back up your data first before upgrading your phone. We recommend using a free Wi-Fi hotspot or an unlimited data plan to apply this update. If not, standard data connection charges may apply. For any questions, please contact us at http://www.htc.com/www/CA_Hotline.aspx"