Security at Heathrow is bad pretty much everywhere nowadays, so allow plenty of time at the airport.
And yes, you always have to go through security when passing the airport, even on transit. Follow the signs marked "Flight Connections" and you will sooner or later end up at a security control.

Both SAS and UA use terminal 3, so fortunately no need to take a bus as is the case if you have to transfer to any of the other three terminals at LHR.

Also keep in mind that if you transit in the UK the UK rules for hand luggage apply, so it's strictly one piece of hand luggage. If you have two bags or the one you have is too large you will be forced to check the bag, so do check the exact rules before you leave.
Unfortunately they enforce this strictly!