Fixed the conversion and saving issues with the RGZ file format in 1.6.6. GRF Editor didn't allow GRFs to be added to a RGZ file (or any other format actually); its defaut behavior is to open the file instead. This was made on purpose because you shouldn't be packing a GRF inside a RGZ file; it's a double compression and it should be avoided. That being said, I've removed the restriction and you can do it now.
If you're planning to make a Thor patch, I would recommend the following method instead (you will need the version 1.6.6) :
Open your GRF with GRF Editor
Go in File > Save as... > Rename it with the .thor extension.
Click on the root node (or any other node), and select the "Container options" tab (on the right panel).
Use "Merge into GRF" for the patching mode and type in the output GRF name.
Save your Thor patch.
Once you patch the file with Thor Patcher, it will either create or merge the GRF for you. Hope this helps!
I use RSU. I will test this next time I need to (I used a different tool), however, what you said was not what my problem was. Although it did let me add the GRF and save it as an RGZ, it would not extract correctly, the patcher would hang after extracting it. Here's what I was told: