Do I need to install every update from 3.5 to 3.7 SP2 or will simply installing 3.7 SP2 cover every other Service Pack and version I don't have?
Installing the 3.7 SP1 directly should not be a problem( we do not have a SP2). There are customers that upgrades even from 3.1.
Also, where do I go to get the upgrade? Does it require a new purchase?
The patch does not require a new purchase. It should be able to obtain it from your account >> downloads section. Generally you should download the last official release if you do not see the patch.
All the best,
the Telerik team