Several was to automate it.
You could either do the whole thing on a local machine then capture the completed folder in Composer and make a deployable dmg that may just work without anything else required.
Otherwise you could capture just the file in a temp location, deploy that, then shell or bash script the creation, copying and modifying of the folder, Casper always runs with elevated rights so never needs sudo or passwords when scripting.

I captured the steps with Composer, but all it did was create the folder in applications and copy the file in there. So My next step was to create a script in JSS that runs after, but when the policy ran the policy log showed:

Executing Policy Secunia Agent v3...
Mounting CasperShare to /Volumes/CasperShare...
Verifying package integrity...
Installing Secunia Agent.dmg...
Closing package...
Running script Activate Secunia...
Script exit code: 2
Script result:

Here is the script I created:

tell application "terminal"
activate
do script "cd /applications/secunia" in front window
delay 1
do script "./csia -i" in front window
end tell

The middle four commands should be tabbed but it does not display correctly.
I am very new at Apple script so I am not really sure what I did wrong. Any help would be much appreciated.

Capturing with Composer is often not appropriate for an agent install, and frankly I wouldn't do it. If the agent contacts a server (like most security agents do), there may be unique identifiers/certs/etc generated for each system, and now you're duplicating that across all your installations.

You want to drop the required installer payload (which it looks like you did?) and run that with a script. Don't use AppleScript, you'll want to learn a little bash instead since it's a shell command. Your Applescript has several issues that I won't go into.

The shell script could basically just be:

#!/bin/sh

/applications/secunia/csia -i