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My client's SEO guy said that search engines prefer gzipped sitemaps. They keep their sitemap in .xml.gz file.
I was wondering if there is any difference for search engines between a gzipped "on-the-fly" sitemap (i.e. by Apache or Nginx) and a "manually" gzipped file.
There is no difference between the two ways you describe of gzipping a sitemap.xml for search engines.
The important thing is to just make sure your sitemap.xml is gzipped, to save bandwidth for website servers and search engines, even more if your sitemap.xml file size is big.
