Is there a way to have the gif automatically play?

Depends on how you're browsing lemmy - I'm on liftoff and they auto play. Maybe check your app's settings?

Also, is there a way to add a gif from a keyboard app like GIPHY?

Afaik Lemmy's markdown is text only, so you'll have to get the url from your app. I can't get it for my phone, but there might be a long tap then "view in browser" or "get url" option like I have on their website.