Just try the "check in online" button on the bar toward the top of the main page of the website - that should get you to the boarding pass page. If you can't find it (or it doesn't get you to the right page), then yes - you should just check in at the airport. Other option would be to try one of the check in services (paid or otherwise) that have been discussed here and hope they can get to the right screen.

The security document simply lets you get through security - you'd check in and pick up the boarding pass (and find out if you're A/B/C) at the gate. If you're checking luggage, you have to stop at the ticket counter or with the skycap anyway, so it has no benefit.

Southwest still offers the option to print out a security document, but I'm not sure how that's useful now for anyone, now that you can check in away from the gate (and the short-lived distribution of a limited supply of eacy type of boarding group to the different places is gone). Unlike 24-hour checkin, you can get the security document 6 a.m. the day before the flight - so maybe if you're traveling and won't have computer access within the 24 hour checkin window but can print out a security document, you can use it to give you 'security' that you can go straight to the gate if you're cutting things close and/or there's a huge line and/or the kiosks are broken/crowded/unusable with your ticket and you have no baggage. Seriously, though - what is the purpose of the security document these days? It's not real obvious to me.