Playing Fire Red!

That is correct. Most Baby forms require the parent to hold an item in order to generate an egg that will spawn the baby form. For FRLG, the following items will be needed:

Azurill: Sea Incense

Wynaut: Lax Incense

The rest of the Baby Pokemon that require items are Gen 4 so the other baby forms in Pichu, Cleffa, Igglybuff, Togepi, Tyrogue, Smoochum, Elekid and Magby do not require an item. All you need to breed is Ditto + species you want the baby form in. Only the two I noted require the parent to hold that respective item.