symlink at sites/all/modules/civicrm doesn't work
It's how I do it, it works fine.

So you have (outside of the drupal folder) several folders civicrm-4.5.4 civicrm-4.6.2 ...

and (within the sites/all/modules create a single symlink civicrm -> the later civicrm-4.6.2)

The name doesn't matter, but as you will have urls that use it, I recommend keeping civicrm as the name of the symlink, and only keep a single one that you symlink with the civicrm version you want

then you upgrade normally using civicrm/upgrade and voila