It's actually pretty simple process, just run this in Terminal:
fwupdmgr update
Output may look the following way:
Upgrade available for Thunderbolt Controller from 42.00 to 59.00
Thunderbolt Controller and all connected devices may not be usable while updating. Continue with update? [Y|n]: Y
Downloading 59.00 for Thunderbolt Controller...
Fetching firmware https://fwupd.org/downloads/0ec44a6ae2c11843d80147271d99901d41a7489ff29444c820c918e46a8eac25-Lenovo-ThinkPad-X1E-Gen2-Thunderbolt-Firmware-N2OTG12W-Secured.cab
Downloading… [***************************************] Less than one minute remaining…
Decompressing… [***************************************]
Authenticating… [***************************************]
Updating Thunderbolt Controller… ]
Restarting device… [***************************************]
Successfully installed firmware