There is no need for sudo when updating.
In detail: some players (most notably Ipods and Sansas) require raw disk access for installing the bootloader. This usually means that you need to run Rockbox Utility / sansapatcher / ipodpatcher as root to gain the required permissions. Ubuntu is rather keen on using sudo for this, but there are other ways as well. Usually, you want to run it as
sudo ./rbutilqt
Installing everything else does not require those permissions, only permissions for writing to the disk are required (but not having those permissions would also mean you couldn't transfer files to the player, so it would be kinda pointless).