Grease guns from auto stores are usually designed for use with zerk fittings.
Look at the grease gun at PBK. On the end of the grease gun is a "nipple". The tube in the "picture" screws into the grease gun (after the nipple is removed) to allow that grease gun to be used with zerk fittings..
If you buy a grease gun at an auto store I suspect you will still need a screw in "nipple" for the grease gun.
Yes you will need some sort of grease.