Yes it does work that way. 
But you require more support on the server side… have to use the jardiff utility etc… I don’t know enough details. I think you can get a servlet from the web start pages that does most of what you need on the server side.
More details are here:
http://java.sun.com/products/javawebstart/1.2/docs/downloadservletguide.html
The relevant part is:
[b]Automatic JARDiff generation[/b]
[b]The servlet will automatically generate and return incremental updates to JAR files, if possible.[/b] If the current-version-id parameter is included in the request and the servlet can find both a match on the current-version-id and the requested version (given the above matching rules) and the request is for a JAR file (e.g., the target resource has the .jar extension), then a JARDiff file will be generated by the servlet. The JARDiff file is returned as long as its size is less than that of the requested version.
The JARDiff file is generated and stored in a temporary directory that is specific to the given Web container. The servlet locates the temporary working directory using the javax.servlet.context.tempdir context attribute.