I was under the impression you only needed the latest CU, that they contains all previous CUs. But I was reading some about slipstreaming on Todd Klindt's blog were he says:
Since the patches are discrete, something that's patched in June (like filterpack-x-none.msp and wasrvwfe-x-none.msp), might not be updated in August. In that case, if you want the all, you have to extract all the CUs and copy them over in order.