seq -w will detect the max input width and normalize the width of the output.
for num in $(seq -w 01 05); do
    ...
done
At time of writing this didn't work on the newest versions of OSX, so you can either install macports and use its version of seq, or you can set the format explicitly:
seq -f '%02g' 1 3
    01
    02
    03
But given the ugliness of format specifications for such a simple problem, I prefer the solution Henk and Adrian gave, which just uses Bash. Apple can't screw this up since there's no generic "unix" version of Bash:
echo {01..05}
Or:
for number in {01..05}; do ...; done