DDIO file is created when you compile the program. There should be an XPEDITER flag somewhere when you compile the code. set the flag to Y and DDIO will be created. What change management tool are you using? If it is changeman, you will get a screen where you have lot of flags, there you have XPEDITER flag. In SCLM the flag is there in the primary menu itself.
DDIO files are created when your system programmers install and maintain Xpediter.
Your compile process should have a step that inserts the listing into that existing DDIO file.
To know which DDIO file to use:
1. In TSO/batch: Go into Xpediter's menu, select option 5, then option 3. You will see a list of all existing DDIO files.
2. In CICS: Look for (using CEMT) files starting with SLSF. Those are dedicated names for Xpediter's DDIO files.