I was updating my Debian server in light of the Hearthbleed bug and it made me wonder: if I update a running Linux's sshd while connecting to it over SSH, what happens exactly? The sshd does not get restarted? Or it gets restarted and my ssh session is somehow transferred to the new sshd process?
This is no Problem at all... You won't even notice.
Your current session continues to use the old binaries until you reconnect to the server. It is absolutely safe to install a new openSSH version while connected. Just make sure you restart the sshd service and on your next connect you will use the newly installed version.