No. When you run the new setup program, it won't erase anything you've added to Holiday Lights. Your extra bulbs, music, pictures and settings will still be present.

The only exception is that Holiday Lights 4 remembered a single add-on background picture, and if you added a picture like this, it won't show in the list the first time you use Holiday Lights 5. However, the picture is still on your disk, and you can simply press the Add button to add it to the list again.

(This happens because Holiday Lights can now remember more than one add-on picture, but we had to change the method it uses to remember them.)

 
See also:
How do I know what version I'm using?
How do I upgrade if I'm using a previous version?
Even though the help says it won't happen, it looks like Holiday Lights erased my add-on bulbs, music and pictures when I upgraded.