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A PAK file, as the name suggests, is a single file in which a lot of other files have been 'packed' together. Heretic II has two PAKs, called 'Htic2-0.pak' and 'Htic2-1.pak'. Both of these are located under the /Base/ directory. When you have finished your own custom game, you can also store all of your own files in a single PAK. You'll have to call it 'Htic2-0.pak' though, and make sure to put it in your own game directory (/Newgame/ in these examples).
There are plenty of programs around that let you create, edit or view PAKS, and most will allow you to extract individual files from them. QuArK (Quake Army Knife) lets you view or extract files from an existing PAK, although it has its limitations when it comes to creating new PAKs (it won't save FM model files, for instance). The advantage of QuArK is that it has built-in viewers for FM models and M8 skins and textures. Its main use is for creating new levels for Quake-based games (Heretic II uses a modified Quake II engine). QPed (Quake PAK Editor) is the best program I have found for creating new PAKS.
You don't have to create a PAK file; in fact it is just as easy to store everything in a standard ZIP file, as long as you preserve subdirectory path names. However you'll almost certainly need a program that allows you to extract or view files in the existing Heretic II PAKs.