I have had to create every component in the designs I do. Allied doesn't carry everything and the RS libraries are very limited. I always maintain a folder where I maintain all the datasheets for the parts I use in designs. You have a field in the component library for a datasheet. Make a folder in the PCB tree and call it datasheets. Allow a user to browse for a pdf to be attached to the component. Copy it to the PCB tree so it can be moved when the next release comes out. Very simple and very helpful.