If you want to use a secondary name service through a company like ultradns.com, secondarydns.com, dnsmadeeasy.com etc... you need to set up your Primary Name Server to allow transfers to their secondary services. Since Godaddy.com is also your dns provider, they would have to allow the transfer. I have little experience with them because of such posts as yours. If they don't allow the txfr, I would just use a seperate dns provider and point your registration info to the new nameservers.
The update should be automatic - you only point your secondarys to the primary.
If you are trying to run multiple primary dns servers and manually updating the zones, it "should work" but you may end up with problems. I believe DNS works best when you have 1 primary and several secondary's that all transfer that info.