everything is the quite similar to what was before, but here is the procedure in Xcode6 beta6:

#1

choose the New and File... or press ⌘N on keyboard:

new

#2

choose iOS, Source then Cocoa Touch Class:

Cocoa Touch Class

#3

type the name of your new class (e.g. HelloWorldClass), it is a subset of the NSObject, and you need to choose the Language as well:

HelloWorldClass

#4

after you saved the files, you can find them in the Project Navigator like I did:

Project Navigator