Do I declare them in my .h file or .cpp file, or even the sketch?
You declare classes in a .h file.
You define classes in a .cpp file, and include the definition of the class (the .h file) in the source file.
In the sketch, you need to include all header files that any class-to-be-used also includes. If you don't, the header files, and related source files, will not be copied to the build folder, so the build will fail.