Depending on which Z820 power supply you have there should already be 2 or 3 6-pin connectors available for powering GPUs. The unused 6-pin connectors will be held in a plastic bracket right behind the front fan assembly. If you need 8-pin power connectors then you will need to buy adapter cables. The HP power supply provides up to 18A power on each of the 6-pin connectors, so to be safe you should buy the HP 6-pin to 8-pin adapter versus no-name ones which mostly appear to be 18AWG and can only support up to 10A.
More info via the HP forums: https://h30434.www3.hp.com/t5/Business-PCs-Workstations-and-Point-of-Sale-Systems/Z820-GPU-Power-adapter-6-8pin/m-p/6847042/highlight/true#M24515
HP product link: http://www8.hp.com/us/en/products/oas/product-detail.html?oid=8397979