Go to Southwest's site 24 hours before your flight and print out your boarding pass. Take the boarding pass with you to the airport and show it to security (you do not have to go to the Southwest counter unless you want to check your luggage there - your boarding pass is your "ticket"), you can self-check your luggage or check it outside with an attendant. Proceed to the gate and give the pass to the gate attendant and get on the plane when it's time. I'm not quite sure what you mean by a "security document." I've never needed anything more than the boarding pass and a government issued photo id (driver's license, passport). Make sure you have an extra copy of your boarding pass - it comes in handy sometimes. If you forget and lose your boarding pass, you can print out another one at many self-service kiosks located near the counters.
Remember, with Southwest, they have A, B and C boarding lines. The earlier you print out your pass the more likely you are to get an "A" boarding pass, and be in the first group to board and choose your seats. Southwest does not pre-assign seats.