You don't need to build from source - I think 3.4 is available from the tvheadend repositories:
https://tvheadend.org/projects/tvheadend/wiki/AptRepository
To offer a view on the specific question - yes, if the package name has changed, I'd probably remove the old one before installing the new one. You can take a backup of your config files and install them by hand for the most part if you really have to, but most of it can be re-configured pretty quickly anyway - so you're probably safer making a note of any personalisations and simply re-creating them (user accounts, for example). This won't work so well if you've radically re-arranged channels or similar.
