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While we encourage reuse of existing "standard" message and service definitions wherever possible, there are plenty of cases in which you'll need to define your own custom messages and/or services for a particular application.
The first step in defining a custom message or service is to write the .msg or .srv file, which you do using the ROS interface definition language <About-ROS-Interfaces>.
By convention, .msg files go into a package subdirectory called msg and .srv files go into a package subdirectory called srv (you can pick different locations, but we recommend following the convention).
Having written your .msg and/or .srv files, you need to add some code to your package's CMakelists.txt file to make the code generators run over your definitions. In lieu of a more complete tutorial on this topic, consult the pendulum_msgs package as an example. You can see the relevant CMake calls in that packages's CMakeLists.txt file.
Note that the package.xml format must equal 3 for this to build, this is because the member_of_group command requires format 3. ROS2's create package generates the package.xml with a default format of 2.