It will prompt you at your notification bar that the download is ready. Note, checking the "update software" button will not let you get the update sooner, it is only in case you have received the notification and had to restart the phone for other reasons.
When they start rolling out, you will probably not see it at first. They are rolled out by the IMEI number. If memory serves, some people didn't see 2.1 updates for a couple days after other people did.