Upgrading directly to version 6.2 from version 4.3 and earlier is not officially supported.
If you run version 4.3, upgrade to version 6.0 first before attempting an upgrade to 6.2. If you run version 4.2, upgrade to version 5.0 first before attempting an upgrade to 6.2. If you run a version earlier than 4.2, upgrade to version 4.3 first, then upgrade to version 6.0 before attempting an upgrade to 6.2. Read "About upgrading to 4.3 READ THIS FIRST" for specific details on how to upgrade to version 4.3.
For more information , please refer to http://docs.splunk.com/Documentation/Splunk/6.2.1/Installation/HowtoupgradeSplunk
Do backup's before upgrading! This will save you headaches.....
Next read the docs http://docs.splunk.com/Documentation/Splunk/6.2.1/Installation/HowtoupgradeSplunk#Upgrade_from_4.3_a... and if possible do a dry run on some dev/test server.
You should not loose any data because Splunk will not overwrite any existing indexes, but still remember to do backup's ....
Good luck ...