After you create the classes, you can edit the "target membership" in file inspector as another answer mentioned, which let's you include the file in each of your targets.
Additionally, since certain classes, functions, etc are not available in WatchKit, you may want to add a preproccessor macro to a target's build settings that you can use to define portions of the code that are only available to the Watch or iPhone.
You can define a preprocessor macro in your iPhone target 'Build Settings' > 'Preprocessing' (make sure 'all' is selected at the top left, not just 'basic').
See screen shot for preprocessor macro definition
Once you have that defined, you can use them in your code using the #ifdef preprocessor:
#ifdef IS_IPHONE
// iphone specific code here...
#endif
UPDATE:
As mentioned in the comment below, for swift you could use the following without the need for the preprocessor macro:
#if os(iOS)
// iPhone specific code
#endif