If you want to create compressed zip files without resorting to a third party application, just use the Java 'jar' command to create a zip compatible file. This can easily be done through the QShell interpreter. You can get the full set of options for the jar utility by typing 'jar' in a QSH session (QSH or STRQSH on a commandline). You can automate compressions by putting the jar command in QSH's CMD() parameter.
PGM QSH CMD('jar -cfM myfile.zip myfile1.csv myfile2.csv...') ENDPGM