Until CMake 3.11, the primary download method for packages was done at build time. This causes several issues; most important of which is that `add_subdirectory` doesn't work on a file that doesn't exist yet! The tool for this, ExternalProject, has to work around this by doing the build itself. (It can, however, build non-CMake packages as well).[^1]
If you prefer configure time, see the [Crascit/DownloadProject](https://github.com/Crascit/DownloadProject) repository for a drop-in solution. Submodules work so well, though, that I've discontinued most of the downloads for things like GoogleTest and moved them to submodules. Auto downloads are harder to mimic if you
don't have internet access, and they are often implemented in the build directory, wasting time and space if you have multiple build directories.