I can't find docs, other than Dell pages saying it's automatic on Ubuntu. There is a .exe installer available from their downloads page, but there are no instructions for setting up on other distros. I'm using Dell XPS 9360.
The answer after a lot of searching is to install the firmware management tool:
sudo apt-get install fwupd fwupdmgr get-devices fwupdmgr get-updates fwupdmgr update
These upgrades (if available), may require restart. I am upgrading currently from BIOS 1.2.3 to 1.3.2, and it requires a restart.
I found this information on this community page
For people with other recent machines, this might well provide an upgrade mechanism for their BIOS / firmware too.