I recently installed cx_Oracle module on my machine, in order to connect to a remote Oracle database server. (I have no Oracle client at my side).
Yes, you have to have an Oracle client installed at your side.
From the cx_ORacle README
"Please note that an Oracle client (or server) installation is required in order to use cx_Oracle. If you do not require the tools that come with a full client installation, it is recommended to install the Instant Client which is far easier to install."
EDIT link to Instant Client: http://www.oracle.com/technetwork/database/features/instant-client/index-097480.html