Where to place custom walker class?

Hello,

I am completely new to WordPress and I am making my current website theme work with WordPress.

I need to customize the output of my custom menus. I understand how to extend the walker class but where do I save my walker class file at? Do I actually edit the class-wp-walker.php file, or do I create my own file that extends walker? If so, where do I place this file at?

Thank you so much!