1) No, it is not 100% necessary to build the SPs from the .sql script, but they do need to be built before they can be called. And building them from the script is one way to do that. Sps can be built using scripts such as this, the Development Center in V8.1 (Stored Procedure Builder in V7), or through some other method that can execute SQL (since a CREATE PROCEDURE is just SQL).
To build then from the script, from the DB2 command window:
db2 -td@ -svf myscript.sql
HTH
Andy