You're not doing anything wrong, you just have to keep an eye on the forum if you want to have the very latest patches - Steven regularly releases patches in response to bugs, requests and just generally being a jolly nice chap.
Ver 3.6 is not 'officially' released yet but many people seem to be using it and it appears to be perfectly stable. If you want the official release then you will have to wait until Steven is ready - I have no idea of his plans on this.
As long as you are not using the store version, you can download the latest patch versions
hereCopy the contents of the MusicBee36_Patched.zip file into your current 3.5 installation folder (overwriting the files)