Gas是煤气、天然气的意思，做饭用煤气也没什么毛病，be cooking with gas主要延伸为某件事正在如火如荼、热火朝天的进行着。

【例句】
The Winter Olympic Games is cooking with gas.
冬奥会正在如火如荼进行中。

Business may have been a little slow at first, but now we're cooking with gas!
一开始也许生意不大景气， 不过我们现在却红红火火！