To comment on the above, Managed to find a script to download, unpack, grant permissions, install and delete itself.
#!/bin/bash
mkdir /private/var/tmp/sophos
cd /private/var/tmp/sophos
# Installing Sophos
curl -L -O "YOUR SOPHOS INSTALLER DIRECT DOWNLOAD LINK.zip"
unzip YOUR SOPHOS INSTALLER ZIP NAME.zip
chmod a+x /private/var/tmp/sophos/Sophos\ Installer.app/Contents/MacOS/Sophos\ Installer
chmod a+x /private/var/tmp/sophos/Sophos\ Installer.app/Contents/MacOS/tools/com.sophos.bootstrap.helper
sudo /private/var/tmp/sophos/Sophos\ Installer.app/Contents/MacOS/Sophos\ Installer --install;
/bin/rm -rf /private/var/tmp/sophos;
exit 0 ## Success
exit 1 ## Failure