They're not terribly expensive upgrades and AH will take advantage of dual core cpus, so why not? You'll probably find your computer is more responsive overall too. That's what I found. AH got a better performance boost than I expected (I could go from 2x to 4x FSAA and still got better framerates) and now I don't have to quit using my computer while burning CDs and DVDs.
I'd also say go to 2 gig memory, but you'll get the best speedup with 2x1 gig sticks instead of adding another 2 512 meg sticks, because the nvidia chipsets won't run 4 sticks of memory at 1T memory timings. It'll run 4 sticks of memory just fine at 2T timings, but for the fastest memory performance you'll want just 2 sticks of memory at 1T command rate.
As far as how to do it, you want to do a couple of things.
First, make sure your mobo bios supports dual core cpus. It probably wouldn't hurt to get the latest bios from the mobo manufacturer.
Second, read the dual core sticky thread and install the drivers and MS dual core hotfix as described in the thread. Basically you just download a few files and run them, not a big deal.
That's pretty much it. You will want to check to make sure winXP is using the "ACPI Multiprocessor PC" driver after the upgrade, but winXP should automatically detect this and make the change without you doing anything. To check this, right-click on my computer, select properties, select the device manager tab, and expand the "Computer" entry to see what HAL driver is being used for the cpu. If it says ACPI Multiprocessor PC after a reboot or two following the cpu upgrade, then it worked.