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The headers are generated and not written by hand. You can generate them using the rosidl_generate_interfaces CMake macro (examnple here)

There doesn't seem to be an up-to-date tutorial explaining how to define and use custom interfaces at the moment.

I recommend you to create a package with only your custom messages / services files (you can look at https://github.com/ros2/example_interfaces for an example)

And use them in your package (using https://github.com/ros2/examples/tree/35674eb17494ab3f67cc5fbe5f127c614be2220b/rclcpp/minimal_client as an example)