A CU is a cumulative update. This means that you only have to install the latest Cu to get all the updates contained in earlier CUs. But do you really need to install any CUs? My general recommendation would be to install service pack 1, and only install a CU if it contains a fix for a specific problem you have. Of course, if you're going to develop for only one SQL instance, you might be better off if you matched the version of your dev instance to the version of the production instance.
Robert van den Berg