MyProjectGameModeBase.h and MyProjectGameModeBase.cpp will only get automatically created if you created a C++ project. You probably made a Blueprint Project, that’s why they’re missing.
You can just manually add them. In the editor, on the top left, click Tools → Create new C++ class → select Game Mode as the parent class, name it and create. You can then set this game mode to be used either in Project Settings → Maps and Modes or in the World Settings of any Level.