Well the way you should go is dependent on how you feel.
If you want to be able to downgrade back to 3.0 whenever you want, follow this guide-https://gbatemp.net/threads/how-to-install-run-any-switch-firmware-unofficially-without-burning-any-fuses.507461/
Please not that if you install 4.0 or above and then downgrade, you cant play any games from the card reader. This is because your card reader gets updated when installing 4.0 or above. So going to 3.0.1. To play Mario will be fine.
Bad news is, if you DO NOT WANT AUTORCM, this is not the guide for you. This would make your switch boot into RCM automatically and you would need something to boot cfw up and can no longer boot normally with the switch. So it your switch powers off while you are out and about and you dont have an android phone that supports OTG to send the payload via nxloader? Then your screwed until you get home.
-edit- I see you have a sx pro. This is what I get for skimming... you'd be fine. I used the guide and have 0 issues with autoRCM. Just make sure to boot briccmii up at the end of the guide to repair cust_data. This info is at the top of the guide but should be done after fake updating.
With the no burning fuses guide you can just get the update you want out of a game, or from xbins (just google xbins and you will see it. They store alot of console stuff)
The other option would to just update and burn your fuses. You will be on 5.1.0 then and you cant go back after updating via nintendo servers.
You can backup your emmc and boot0 and 1 with hekate. The link that I put above will have you do this anyways. If you dont want to follow the guide you could just boot RCM with a jig + Vol+ and send the hekate payload and just backup from there. If you update, you WILL burn fuses and you cant officially go back.
Again it's your preference, do you want possible coldboot earlier for 1.0.0-3.0.0? Do you want to be able to downgrade back whenever you would want too? Or do you just want to play latest games? Still avoid online though
Sorry for such a long response, I'm tired so if anything here is wrong, anyone please correct me. Time for bed.