You have several questions here. Let's address them one at a time:
1) You can add a script to Jamf by navigating to Settings --> Computer Management --> Scripts. Click "New", give it a title and then you can paste the plaintext contents of your script.
2) "Download the script from Apple website". I'm assuming you've found a script posted somewhere by someone and you want to use it. Just copy and paste it into a Text Editor like BBEdit or TextMate, check for syntax errors, and then copy and paste into your script area that I talked about in Answer 1 above.
3) Security updates? For the OS? For Jamf? For a particular app? If you're asking about OS security updates, I do not recommend that you try to package these and have Jamf apply them. Instead, I recommend you either use the MDM "download and install" command within Jamf to trigger the same, or you leverage a tools like Nudge to nudge your end-users into applying the updates as downloaded in System Preferences -> Software Updates pane.
The Jamf 100 course is freely available here. It can give you a great introduction to using Jamf in your environment, and also a great introduction to being a Mac Admin. I also recommend MacAdmin.info as a jumping-off place for new Mac Admins.