To use the Bode plot on my sds1204x-e, with my sdg2042, can you do it with just the regular high impedance scope probes, measuring just the input and output of a circuit ?
Of course you can use whatever probing fits the bill. There are settings to tell the Bode Plot about the impedance of the DUT interfaces. In 99% of the practical cases this will either be High-Z (passive high impedance probes) or 50 ohms (laboratory standard).
Or do you always have to have the AWG tied to the scope, and all with 50ohm coax and terminators and all that stuff ?
You always have the AWG "tied to the scope", either via ethernet or USB.
I still don't have any of that stuff, I might have a M-M 50ohm cable if 1 came with the 2042x. Besides that, I only have the cables that they sell with $20 scopes, with BNC on 1 end, and aligator clips on the other, and I think they are just sub 1 ohm wires.
You seem to have a misconception with the 50 ohms standard, I'm afraid. It's not so that you can measure 50 ohms with your multimeter, because this is not a wire resistance, but the characteristic impedance, which in turn has to do with the dimensions and geometry of the center wire and its shielding - and the dielectricum between them.
The cables with crocodile clips on one end are usually 50 ohms as well, albeit mostly inferior quality. This is less of a concern at low frequencies, but especially the Bode Plotter could suffer from high crosstalk, caused by cheap cables with inefficient shielding.
However the most important prerequisite for using the 50 ohms technique in any test setup is to make sure you have 50 ohms interfaces on your DUT. This will be the case for lab gear and professional RF modules, but neither for audio circuits nor passive RC-structures thrown together on a breadboard. Use high impedance probes (maybe together with suitable termination resistors to satisfy the needs of the DUT ports) in all these cases - and tell the Bode Plotter the correct value of the termination resistors whenever you want to measure power (dBm). This setting is meaningless for voltage measurements (dBV).