The Honor Guards from the Core set say: Challenges: You may put (insert house name) Honor Guard into play from your hand, under the control of any opponent. After that opponent wins a challenge in which (insert house name) Honor Guard participated, take control of Dothraki Honor Guard.

I assume I don't have to pay the gold cost, since it says "put into play". Yes or no? Thnx in advance.

That is correct. "Put Into Play" is a mechanic that bypasses Mustering, so does not include the normal Gold Cost.