If you added images to the images/header/ folder and do an automatic upgrade, the folder maybe wiped out with the images from the theme. This is why you want to backup any images you have put there.

Personally, I do the update manually. I
- download the theme to my computer
- unzip the folder and make sure it has the name of the version
- copy in my header images, deleting the supplied images
- FTP the folder to the themes folder
This way I can switch between versions just in case I missed something - this does require that I adjust URL names if I'm using the full path name to get to an image, but I'm ok with that.