but do you have to be plugged in while you play?
To sideload it onto the quest yes you need to be plugged in. And to play no the quest has its own operating system running android meaning you can install APK's directly to your headset. Go download sidequest from http://sidequestvr.com/ , from there you can install many other games directly onto your headset from itch.io ect. Here is a tutorial for sidequest