I did migrate my test databases from V8.2 to V9.1 to V9.5 over time. There is nothing special about it. You have to install the DB2 V9.1 (or V9.5) software, of course, then update the instance and then migrate the databases using the DB2 command MIGRATE.
p.s: Which "compress feature" are you referring to? And which edition of DB2 are you using?