I tried going directly to 6.0.3, but you end up getting SQL errors when you try to import you old 4.3.6 config. When I reimaged to 6.0.1 it worked.
I had actually misinterpreted the webpage titled "Migrating Data from Cisco Security MARS 4.x to 6.0.X" to mean you could go from 4.x to any of the 6.0.X upgrades. However, I think it implies you can get to any of the 6.0.X versions, but you must start at 6.0.1.
In fact, I found this answered in a FAQ:
http://www.cisco.com/en/US/products/ps6241/products_tech_note09186a00808f1279.shtml#p8
Hope this helps someone else!