capacitors and resistors are generally easy. focus on the signal path. save the old components in case you don't like the new sound.
tube sockets are a lot more work and probably get upgraded only when they become worn out. Tube rolling, especially with old tubes with oxidized contacts, can degrade them.
Power supply upgrades generally require a better understanding of how it is designed so study and make sure you have an understanding of what you want to accoplish.
Jerry