No you don't have to uncompress files using gunzip or gzip command. Linux and UNIX-like operating systems comes with z* commands. You need to use zgrep command which invokes grep on compressed or gzipped files. All options specified are passed directly to the grep command or egrep command.
To search .gz file called test.gz, enter:
$ zgrep 'word-to-search' /path/to/test.gz
$ zgrep 'GET /faq/a-long-url/' /path/to/access.log.gz
You can run zcat command to display file on screen:
$ zcat file.gz
See a list of all z-commands on Unix-like operating system for more information.