Except for programs that support KML to KMZ conversion, you can simply pack your .kml files with any ZIP supporting programs as .zip archive and rename ZIP to KMZ. This should work simply because a .kmz file is just a zipped version of .kml file for the purposes of reducing file size.
Convert Google Earth Keyhole Markup language file to Compressed Keyhole Markup Language (Google Earth) data.
We found 3 software records in the database related to .kml to .kmz file format conversion.
Microsoft Windows software - convert kml to kmz on Windows
A digital map conversion software
Convert from kml file format
The tables with software actions are a good pointer for what a certain program does with various file types and often may give users a good hint how to perform certain file conversion, for example the above-mentioned kml to kmz. However, it is not perfect and sometimes can show results which are not really usable because of how certain programs work with files and the possible conversion is thus actually not possible at all.
A GPS software for outdoor activities
A software used to geocode pictures