Sumit,
The Implementation Guide has a whole chapter on the different options you have for upgrading to SDM R12.9 and the steps required for each. The key is that you need to go through the upgrade of your current SDM R12.5 environment to SDM R12.9.
If you want to move to a new server you can then install SDM R12.9 on the new server and move over your upgraded MDB database, site mods, and attachments to the new server.
Some customers do it the other way, They
1) build their new server as a replica of their current SDM R12.5 server
2) bring over the database, site mods, and attachments
3) upgrade the new server to R12.9
Andy