How to download episodes automatically?
In order to download new episodes automatically, you will have to go into Settings/Download and to enable the Automatic Download checkbox.
This will enable this feature for all podcasts.
Now if you want to enable it for specific podcasts, you will have to go into the Podcast Custom Settings, then you will have to override the global download settings.
By the way, you can open the podcast Custom Settings, by long pressing on the podcast (not the episode) and then you will have to select the Custom Settings entry.