The problem:

In Xcode 8, it is no longer possible to create NSManagedObject subclasses by going to File menu and choosing New > File and then selecting NSManagedObject subclass from the iOS > Core Data section. That option simply does not exist.

The solution:

Select the model in the Project Navigator on the left and go to Editor menu and choose Create NSManagedObject Subclasses from there.

A sidenote:

If the project was upgraded to Swift3 there is a good chance that the wizard will generate Objective C files instead of Swift files.

To fix that go to the selected model's File Inspector and change Code Generation language to swift.