Software updates appear in your Settings app in Settings > General > Software Update. Here's what the iOS 5.1.1 update looked like. You tap on "Download and Install" to get started. You don't have to connect to iTunes. Everything happens on your device.
Before you update, you may want to be sure you've performed any of your normal maintenance, backup and syncs. For most people this won't be an issue, however, as their device syncs either automatically through iCloud or whenever you connect it to iTunes. Let your personal paranoia be your guide in this.
Be prepared for the update to take a while. It takes time to download, install and reboot. Your device does this best when sitting on a desk or resting in a backpack or pocket. In other words, pick a time when you can afford to let the device be idle for a while.
Beyond that, there's little you need to know. Be patient. Wait for the device to return to its normal operating state after install. (Don't try to make it "work" during the install process.) And if things go bad, you can contact your local Genius Bar.
Over-the-air updates are one of the more pleasant changes to iOS in recent years. Here's hoping your upgrade goes smoothly.