In short: YES, you need to create your own classes.
To put all code in the AppDelegate and ViewController classes is a popular habit in iOS. iOS apps tend to have small (auto-generated) model classes, which are then managed from the ViewControllers or the AppDelegate. Which is the fastest way to create a fart-app and the like.
In case you're building anything bigger then a fart-app, I suggest to take a different approach: A manager class could be in change of your model (setting it up, saving, etc). The AppDelegate then calls into the model manager when needed. Also, the application code generally improves when the "application logic" is placed in the model classes. To accomodate model changes (and regenerating the model classes), the auto-generated ManagedObjects should then be extended via categories containing your "application logic".