Yes, to create new animations, you need to create an addon. There is no way to include animations within your mission.pbo, just like there is no way to include new weapons or units in a mission.pbo.
There are two parts involved in creating an animation:
1) Making the .rtm (animation) file, and
2) Configuring the animation to work in OFP
For step #1, you will need ofpAnim, which can be found on ofpec
here. Make sure to read my comments posted there for a quickie tutorial and links. Other commercial programs can also be used apparently, such as Maya, but I have never used those.
Unfortunately, step #2 is very different (and often very harder) than step #1. There aren't really any good, complete tutorials on how this is done, mostly because, well, nobody really knows much about it.
I'm currently working on a tutorial that includes everything I've figured out on my own. It's still a total work-in-progress, but if you want I could send it to you. That is, once you have progressed pass step #1 above.