Mine is supposed to support on-board programming but I still had to remove the chip before it would work. I suppose it is chip specific and/or programmer specific but I would not advise a rookie doing this unless they have a backup plan to remove the chip if it doesn't work out as planned.
I'll cover the off board component too. I have a few extra chips to shoot the pics. They are only $1/ea if you buy 10+ from mouser.
As a matter of fact if you need to recode the chip and you have to remove the thing, it's better to just buy a new chip for $1, read your stock ROM while on the board (that's never a problem), modify the ROM, then write it to your new blank chip. Once you have verified the new chip is good then you can unsolder the factory one and resolder the new one so you always have your roll-back plan in place.