What it takes to update nightly CM12.1 in TWRP? I want to install the latest cm12.1 nightly update, but I am worried about doing something wrong.

The .zip file is already downloaded. My recovery mode is TWRP and I would like to know if I need to wipe, clear, or do something like that in TWRP options.

Thanks!
If you're already using a Cyanogenmod Build from the same developer then you can just go ahead and install the update without wiping anything. 

If you're using a stock (based) rom on your device and you want to install cyanogenmod for the first time then you should wipe /system, /data/, /cache, /dalvik cache. This will be a clean install, so all your data may get lost.
As always adviced: Make a backup (in TWRP) first so you're on the safe side. If something goes wrong you don't have to worry and just restore your backup without any hassle. Furthermore you can save your existing application + app data with Titanium Backup from the Playstore and restore them when the installation has finished :)