I found this whole thing to be very confusing. You really do need to understand what's new in CoreData. Basically, the default is to automatically generate the class and the extensions for you in a place called "DerivedData" that's buried in ~/Library/Developer/Xcode/DerivedData where these classes and their extensions live, outside of your code source. Personally, not being able to open and look at them is weird to me, but something to get used it.
Basically, if you have an entity called "AppSettings" in your CoreData model, you can just use it without needing to generate the code yourself. If you want the code in your project, then set the Codegen property on the entity to Manual/None. Then do what you did before: Editor->Create NSManagedObject classes, etc. The files will wind up in your project.
The good news is that if you want to make custom extensions, just do that in your project. Xcode will blend the generated files, from their other place outside your project directory, with the files in your project directory.