Not necessarily. You will need to follow the compatibility matrix to ensure CBS and SG compatibility. As for SG and CBL- you are just upgrading a minor release so you can do it in any order.
Nothing has to be done. The data is persisted in the database. Updating the version of CBL will not get rid of the data.
There is nothing special here. Just link to the latest one and build - have you tried in your test environment? . You must read the release notes of releases 2.5, 2.6, 2.7 to check for any API deprecations etc.
Also, any reason you are not upgrading to 2.8 of CBL and SGW? Thats our latest release