Question: Can jump from any custom rim to any other by just having twrp recovery installed ? Or do I need to first come back to stock ROM and again install another custom ROM ?

Answer: 
If you want to switch to other custom ROM just go to TWRP/CWM and perform the wipes and flash it, no need to install stock ROM. If you want to go to stock ROM than you'll need pc with software to flash firmware or via download mode on phone.
To install a custom rom you need a custom recovery for your phone .Then you can switch from a stock rom to a custom rom or from a custom rom to another custom rom . You do not need to install the stock rom for installing new custom rom. But if you flash your stock rom and it vanishes your custom recovery and install the stock recovery again then you have to install the custom recovery twrp or touchwiz recovery again to switch a custom rom ,you also have to room your phone again .