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Yes you have to program only Hex file into the PIC.
The type of file also depends upon the software you are using for programming. Some softwares require .bin file. But 98% of the programmers I have seen accepts Intel Hex format.
As previously stated, you program the pic with the hex code, this is derived from the asm file created using a text editor.
The asm file is then assembled using the appropriate assembler, in the case of the pic I would use Mpasm from Microchip. This generates your hex file for you and also if there are any problems it will output an error list too, handy for debugging.
You will need a programmer that supports the the device you wish to program and the application software for the programmer.
Checkout my website for a suitable pic programmer and there is probably a link for software for it too.....