I have a cold water faucet in the backyard, the problem is when it is
on the water drips and sprays out of the knob. I'm assuming that the
whole faucet needs to be replaced.

The pipe coming out of the wall stucco is maybe 1/2" pipe, From the
wall to faucet it goes pipe-nut-exposed thread (part of faucet body)
-faucet body.

I was wondering if this is just a compression fitting.. Or is it a
Pipe threaded nut soldered on the pipe and the faucet threads onto it?

Of course, I would shut off the main water supply first, but I would
want to make sure I'm wrenching on the right thing. Would it be a
good idea to use a visegrip on the pipe while I'm unscrewing the nut
to avoid stress on the pipe? The faucet should be about 20 years old
with some paint over it.