Guest Additions are available for MacOS starting with VirtualBox 6.0.
Installing:
Boot & login into your guest macOS.
In VirtualBox UI, use menu Devices | Insert Guest Additions CD image…
CD will appear on your macOS desktop, open it.
Run VBoxDarwinAdditions.pkg.
Go through installer, it’s mostly about clicking Next.
At some step, macOS will be asking about permissions for Oracle. Click the button to go to System Preferences and allow it.
If you forgot/misclicked in step 6, go to macOS System Preferences | Security & Privacy | General. In the bottom, there will be a question to allow permissions for Oracle. Allow it.
Troubleshooting
macOS 10.15 introduced new code signing requirements; Guest additions installation will fail. However, if you reboot and apply step 7 from list above, shared clipboard will still work.
VirtualBox < 6.0.12 has a bug where Guest Additions service doesn't start. Use newer VirtualBox.
In the guest Mac, open the Terminal and go for a reboot on the Recovery partition
sudo nvram "recovery-boot-mode=unused"
sudo reboot
Now you're in Recovery mode, enter the Terminal and do:
csrutil disable
spctl kext-consent add VB5E2TV963
nvram -d recovery-boot-mode
reboot
Back in "normal" mode, open the Terminal, and do:
sudo mount -uw /
sudo chown :admin /System/Library/Extensions/
sudo chmod 775 /System/Library/Extensions/
Run the Guest Additions installer and go through the end
(in principle, it goes through successfully)
Now in the terminal, do:
sudo chown :wheel /System/Library/Extensions/
sudo chmod 755 /System/Library/Extensions/
sudo nvram "recovery-boot-mode=unused"
sudo reboot
Again in Recovery mode, go into the Terminal and do:
csrutil enable
nvram -d recovery-boot-mode
reboot
You should be set.