How are you writing your classes? Presumably in the Processing PDE, where you just create a new tab and write down your class. When you save your sketch, Processing will organize all the files in the sketch folder. Every tab you create in the sketch will be a separate .pde file.

That's what I am doing. So do I just run my sketch and all the classes will compile and run?

a class does not run on it's own.

a class is a mere blue-print for an object.

a class is the idea of a thing.

To make that thing (object) from the blueprint (class) use something like

• new... in setup()
• and in draw() something like object.display()

Read:

http://processing.org/learning/objects/

It's very good.

For a program you don't need all classes but just the one used in that program for that specific objects...

Greetings!  

So do I just run my sketch and all the classes will compile and run?

only the classes in the PDE will compile (and run when you invoke objects from the class by using new).