It depends on whether you plan on using Galaxy or not.

If you do, and you leave auto-update turned on for a given game, then that game should update itself as soon as a new version is done being tested by GOG (yes, they check to make sure it won't just break the game outright). As Galaxy is still in beta, it doesn't always work as intended, however. :)

If, on the other hand, you want to use the standalone installers, you'll have to wait for them to finish testing and packaging the new version (sometimes it'll be a patch, sometimes you'll have to download the whole game again), then download it manually and install it.