How do we download this Security Update 2021-005 Catalina update? Is it automatic?

Well that was very quick of Apple to post the update, normally they take a few days, the last lot of Security Updates didn't become available in this way for about two weeks.

System Preferences> Software Update should have had the Security Update available,

it would have appeared under the Big Sur upgrade notification box in blue letters

saying something like 'other downloads are available for your computer'.

Personally I prefer to have Automatically keep my Mac up to date unchecked.

This stops the mac from interrupting you and downloading Security Updates or point releases,

you might be busy involved in important projects, and it is not impossible that automatically

installing these large updates could interrupt your workflow and lead to loss of data.

Of late Apple updates have not been very reliable and on several occasions have led to

supplemental updates being released to fix any problems the previous update may

have introduced.

This is how I have the Advanced section in Software Update set up.

Follow the post by Eau Rouge and add this:

Enable automatic updates:

System Preferences> Software Update.

Very good, my friend.

Thank you for posting the link.

Please mark you reply as solving the problem so others may know. 👍🏽