GIMP can load and save images which have been gzip compressed. To save a gziped file, you can either use Save By Extension or gz. You need to name your file in the format filename.extension.gz where extension is an extension for a supported file format. For example, to save a gziped TIFF file called "foo", you would enter foo.tif.gz as the filename.
For this plug-in to work you need gzip — you can check if you have this by typing gzip --version at a terminal window. If you get gzip: command not found (or similar) you don't have gzip.