Download settings can be managed in a couple of different places:
1. Once you add a show to "My Shows" you can enable automatic downloads for that specific show by tapping the "downloads" button:
When the downloads are enabled, the button will turn blue:
2. Go to My Shows > Settings Gear > Download Settings. From here you have the following options:
A. Download Bookmarks: episodes added to your Bookmarks will be downloaded when you're on WiFi
B. Remove Downloads: determines how soon after you've finished listening to a downloaded episode that the download will be removed from your device
C. Download Using Cellular: enables automatic and Bookmarks downloads (see A above) to be downloaded using your cellular connection. Note: any episode you manually try to download will download regardless of this setting being toggled.
D. Auto-Download New Episodes: when this setting is enabled, any shows that you add to My Shows from then on will automatically have show notifications enabled. If you would like to control this show-by-show (with the default being Off rather than On), turn this toggle off.
E. Auto-Download These Shows: here you'll find a list of the podcasts saved in My Shows. You can toggle each on and off individually to enable/disable auto-downloads for that particular show even if you do not toggle on Auto-Download New Episodes.