Should I install cm12 nightly builds incrementally? I installed CM12's nightly build two weeks ago on my phone. Since its a nightly build, my phone asks me everyday if I want to upgrade to the latest build.

Since it's been a couple of days since I last upgraded my phone, I'm wondering whether I should install every updates incrementally or directly install the latest one.

Are the updates listed on the software-update screen incremental ?
You can flash the latest build as each is a full-build rather than a patch. You do not need to install each one incrementally. You should also be able to change the type of build that the updater checks for from nightly to stable (and possibly some others in between)