Scripting execute permissions on stored procedure
Take a user created Stored Procedure, MySP and as part of the SQL Script to create the SP add a SQL Statement to Grant execute permissions on the SP.

CREATE Procedure MySP
AS
BEGIN
  SELECT 'HELLO';
END
GO
GRANT EXECUTE ON MySP To SomeUser;
GO


When the SQL is run the SP is created and stored in SQL Server. Once the SP is created the Grant execute statement is executed. 

When the SP is executed only the contents of the SP are run.

The Grant execute statement is NOT stored with the SP in SQL Sever. This can be verified in a number of ways 


By opening SQL Enterprise Manager, locating the database in which the SP resides and viewing the SP under Programmability.
Use sp_helptext 'MySP' which will return SQL Servers stored version of the SP