Yes, you always upgrade sequentially. Considering that there are A LOT of changes going all the way from 1.6 to 2.2, you may want to seriously consider starting from scratch if your environment isn’t too big and complex. That might save you some time.
Here are some articles that should help you:
Depending on the underlying OS, you may also need to do an OS upgrade on your Checkmk server, so also pay attention to the update matrices: