Yes, you are right. If your Groovy script uses external classes, you have to add necessary libraries on application server classpath. It is not possible to use Grape annotation @Grab for importing dependencies.
The classpath location is different for each application server. For example, when you use Tomcat you can add the libraries to [tomcat]/lib directory, when you use Weblogic you can add the libraries to [weblogic_home]/server/lib directory. Please see your application server documentation for more details.
Please note, the latest production version of CloverETL 3.5.2 uses Groovy version 2.0 for evaluating Groovy scripts. Please be sure you use proper version of HTTP Builder for running on Groovy 2.0.