Update feed more frequently

Just like the pages WordPress makes normally, feeds are generated on-demand, they’re not “rebuilt” or “updated” or any sort of thing like that. So posts will appear in the feed at the exact instant that they are published.

If you’re seeing a lag time, then you may be using a caching plugin, such as WP-Super-Cache, or some form of feed redistribution service, such as FeedBurner, which is holding a copy of the feed for some period of time and only refreshing from the actual feed periodically.

In this case, you need to either configure the caching plugin to not cache the feed, or stop using the feedburner-like service.