It depends on what version you are working and the one you're upgrading.I would recommend you creating your own .scss file and then add it to the main.scss from your project. It can avoid loss of styles if you change versions.
Of course, there's always the possibility to create your own theme, and add it to your project, to make it an easy way to re-use it on others proejcts.
I suggest you check this Mendix Docs, may be usefull: https://docs.mendix.com/studio/theme-customizer
Even though this is already marked as answered, Luis’ answer is for Studio, the web-version. If you are working in Studio Pro, the local version, like most of us do, then you need to follow this manual: https://docs.mendix.com/howto/front-end/customize-styling-new