To be a bit more verbose on the installation:

It's fairly painless on a modern* Linix system. A standard* ./configure && make && make install.

The configure gives you a long list of questions, to which you can almost always just pick the default. (You may want to watch for the dynamic linking option, but I'm betting it will be enabled by default)
Note that an installation of a different version of perl will NOT see any modules you installed for a different version (such as GD). Also note that while 5.6 (for example), has a lot of common modules included, many others that are commonly used are not included. (It's on the to-do list for 6.0, and presumably the 5.7/5.8 series) Usually after I do an install, I do a 'perl -MCPAN -eshell' (which involves another accept-the-defaults config), and install a short list of modules.
Also note that a distributions installation may not be in the "standard" place (/usr/bin/perl, /usr/local/bin/perl). You may want to uninstall any perl RPM/debs you have before installing the new version. (But there are probably a lot of dependancies based on perl, so maybe not.)

*Can we use these words in relation to Linix yet?