What I recommend is to setup your database model in xcode, then when you have done that... choose the entities and choose from the menu File > New File. Then choose the "Managed Object Class" from the "Cocoa touch class". After "Next" choose where to save the files, and at the next step XCode will ask you which entities should be generated to files.

After you have done that, you can implement the functions you need into your e.g. you delegate. My recommendation is to leave your existing stuff as it is and use the core data classes as their own. Just pull the data you need from you existing classes/arrays and put them in to the database as you need them. When retrieving, the other way around... get them from the DB and add them to your functions / classes.

Example from one of my projects:

The .h file

@class quicklistSet;

@interface rankedAppDelegate : NSObject <UIApplicationDelegate, UITabBarControllerDelegate> {
[...]

    NSMutableArray *_searchHistory;
    NSMutableArray *_quickList;
}

[...]

@property (nonatomic, retain) NSMutableArray *_searchHistory;
@property (nonatomic, retain) NSMutableArray *_quickList;

/* Quicklist functions */
- (void)addToQuicklist:(quicklistSet *)theQuicklistSet;
- (BOOL)checkIfQuicklistExists:(quicklistSet*)theQuicklistSet;
- (NSMutableArray *)getQuicklists;
- (void)deleteQuicklist:(NSNumber*)theAppId;


@end

The .m file

#import "quicklistSet.h"
#import "quicklist.h"

@implementation rankedAppDelegate

@synthesize window;
@synthesize tabBarController;
@synthesize _searchHistory, _quickList;

[...]

/* Quicklist functions */
- (void)addToQuicklist:(quicklistSet *)theQuicklistSet
{
    BOOL exists = [self checkIfQuicklistExists:theQuicklistSet];

    if(!exists)
    {
        quicklist *theQuicklist = (quicklist *)[NSEntityDescription insertNewObjectForEntityForName:@"quicklist"
                                                                                      inManagedObjectContext:self.managedObjectContext];

        [theQuicklist setAppName:[theQuicklistSet _appName]];
        [theQuicklist setAppId:[theQuicklistSet _appId]];
        [theQuicklist setAppImage:[theQuicklistSet _appImage]];
        [theQuicklist setCountryId:[theQuicklistSet _countryId]];
        [theQuicklist setCategoryId:[theQuicklistSet _categoryId]];
        [theQuicklist setLastCheck:[theQuicklistSet _lastCheck]];
        [theQuicklist setLastRank:[theQuicklistSet _lastRank]];

        [_quickList addObject:theQuicklist];

        [self saveAction];
    }
    else {
        NSLog(@"Existing quicklistSet: %@", [theQuicklistSet _appName]);
    }
}

- (BOOL)checkIfQuicklistExists:(quicklistSet*)theQuicklistSet
{
    // Get the categories
    NSMutableArray *quicklistArray = [self getQuicklists];

    BOOL exists = NO;

    for(quicklist *dbQuicklist in quicklistArray)
    {
        if([[dbQuicklist appId] isEqualToNumber:[theQuicklistSet _appId]])
        {
            exists = YES;
            continue;
        }
    }

    return exists;
}

- (NSMutableArray *)getQuicklists
{
    if(_quickList == NULL)
    {
        NSLog(@"Array is null");

        NSFetchRequest *fetchRequest = [[NSFetchRequest alloc] init];

        NSEntityDescription *entity = [NSEntityDescription entityForName:@"quicklist" 
                                                  inManagedObjectContext:self.managedObjectContext];
        [fetchRequest setEntity:entity];

        NSError *error;
        NSArray *items = [[self.managedObjectContext
                           executeFetchRequest:fetchRequest error:&error] retain];

        NSMutableArray *returnArray = [[[NSMutableArray alloc] initWithArray:items] retain];

        _quickList = returnArray;

        [fetchRequest release];
    }
    else {
        NSLog(@"Not null. Count: %d", [_quickList count]);
    }

    return _quickList;
}

- (void)deleteQuicklist:(NSNumber*)theAppId
{
    NSLog(@"Delete row");

    // Create a new managed object context for the new book -- set its persistent store coordinator to the same as that from the fetched results controller s context.
    NSFetchRequest *fetchRequest = [[NSFetchRequest alloc] init];
    NSEntityDescription *entity = [NSEntityDescription entityForName:@"quicklist" 
                                              inManagedObjectContext:self.managedObjectContext];

    [fetchRequest setEntity:entity];
    NSPredicate *predicate = [NSPredicate predicateWithFormat:@"appId=%@",theAppId];
    [fetchRequest setPredicate:predicate];

    NSError *error;
    NSArray *items = [self.managedObjectContext
                      executeFetchRequest:fetchRequest error:&error];
    [fetchRequest release];

    if([items count] > 0)
    {
        NSManagedObject *eventToDelete = [items objectAtIndex:0];
        [self.managedObjectContext deleteObject:eventToDelete];

        [self saveAction];
    }
}
/* END Quciklist functions */

[...]

@end

EDIT: The quicklistSet was my existsing class, the quicklist is my coredata class.

1. Yes, you want to create an entity for all of the classes you mentioned.

2. You ve already got the answer to this in your question: make a one-to-many relationship. For example, for the players relationship of Game, click the "To-many relationship" checkbox in the data model editor.

3. You ll want to have your data classes (Game, Player, Item) inherit from NSManagedObject. You ll probably want to remove all of the instance variables that correspond to the attributes you added in Core Data. For the to-many relationships (players, items), you ll definitely want to get rid of the NSArray member variable you were using. Instead, do like you were saying and create @dynamic accessors for the players and items properties. Note that you want to use an NSSet instead of an NSArray for players and items.

For example, the header for your Game class might look like this:

@interface Game : NSManagedObject {

}

@property(nonatomic, retain) NSSet *players
@property(nonatomic, retain) NSString *someOtherProperty;
@property(nonatomic, retain) NSNumber *yetAnotherProperty;

@end

And then your implementation file might look like:

#import "Game.h"

@implementation Game

@dynamic players, someOtherProperty, yetAnotherProperty;

- (void)awakeFromInsert {
    // do initialization here
}

// other methods go here

@end

Also, be careful when modifying the players and items properties. The Using Managed Objects section of the Core Data Programming guide has a lot of good details, but basically to add a Player to a Game instance, you would do

[game addPlayerObject:newPlayer];

To actually create the new player, you would do something like:

NSManagedObject *newPlayer = [NSEntityDescription insertNewObjectForEntityForName:@"Player" inManagedObjectContext:context];