Most (if not all) custom ROMs deliberately prevent over-the-air updates from carriers/manufacturers. This is done both to prevent incompatibilities during the upgrade process, and to avoid losing root. With that said, some custom ROMs do offer ways to be notified of updates. For example, for ROMs that are integrated with Rom Manager update notifications are available through that app (available for the Premium version only though.) Other ROMs may even include their own update notification built-in. This is really up to the developer of a given ROM, and you should be able to find this information on the ROM's support thread.
After the initial rooting and installation procedure, upgrading a ROM to a newer version is quite easy:
- Download ROM's update.zip file and place it on the root of your SD Card.
- Reboot device to Recovery (ClockworkMod in this case.)
- Perform a Nandroid backup. This step is not strictly necessary, but highly recommended in case something goes wrong during the update process, or if you just aren't happy with a new version. If that happens you can always restore a previous backup to get your device back to a fully functional version.
- Clear Cache and Dalvik-cache partitions. Again, not really necessary, but in some cases this helps prevent issues with installed 3rd-party (and system) apps in case the updated ROM changes things around too much.
- Apply the update. Pick the ZIP file you downloaded in step 1 and wait for the update to complete.
- Flash the GApps package. Optional, if you want the Play Store, Google Talk and other Google experience apps. You have to do this step each time you upgrade the ROM, since the /system partition gets formatted as part of the update process.
The first boot after ROM update will take a long time (5+ minutes,) depending on how many apps you have installed. This is because the Dalvik-cache gets gets rebuilt. After this you should be all set.