No you don't have to do it that way.
You can use apt-get update && apt-get upgrade and it will pull the new packages in.
See also here
It seems that there is a lot of updates for BT4.
I have installed VLC update succesfully, "apt-get update , apt-get install vlc"
It works well.
Do I have to install every update like that or can I somehow install all updates at same time?
No you don't have to do it that way.
You can use apt-get update && apt-get upgrade and it will pull the new packages in.
See also here