I want to add a 74HC165 in schematic using Altium. But I'm unable to find 74HC165. Do I have to create own library for it ?
Altium doesn't have a lot of footprints, I've found. At least, unless you subscribe to their "vault" nonsense ($$$). So, I make footprints all the time.
Schematics are super easy to make. Create a new schematic library, then hit "Tools" -> New Component. now just draw a rectangle to represent your part, then place some pins (press P, then P again).
The PCB footprint is more of the same. Make a library, look up your footprint in your datasheet, hit CTRL+G to set the spacing of the grid to match your pad/throughole spacing. Then hit "P P" (like in the schematic case) to place a pad. Hit tab before you place it to configure the options -- i.e. do you want it to be a throughole, or just a smd pad, what's its size, etc.