I would say it is only little bit harder to do it in java than python, so I would say yes just do it. I think you will find that the contributed libraries were mainly written by people with the same (unmet) need as you. However I would definetly checkout the contributed libraries first, you don't want to reinvent the wheel do you? Some of the contributed libraries like toxis are collections, so there is masses of stuff there. 

It's not a bit harder, it's a lot harder. In python i would just write a file with my code in it in the same directory and then import it in my main file. I know it's not fair to compare the two, but java gives me a lot of headaches. I don't want to reinvent the wheel but sometimes it's easier to do then to find it on google (sometimes surprisingly hard) or else it's more fun/educational to do it yourself.

With Processing, you can just drop a .java or a .pde file into a sketch folder, it is automatically added to the sketch: not even need to import it!
But it is impractical, as you duplicate code, and it is hard to maintain such code base.
So, indeed, you can make your own library, packaging it to a jar file (which is just a glorified zip file, actually).
There is a tutorial on making libraries on the Processing Web site, IIRC.

thanks phi.lho thats a great tip. Why is it that you duplicate code though?

If you want to reuse the same code, say a class, in several sketch, you need to have a copy of the class on each sketch. So if you update this class, you have to copy again the file on each sketch using it.
A long time ago, I suggested to have a kind of library in source form, at a given place of the sketchbook, that would avoid the trouble to wrap it a jar, but it isn't obvious to do so, so far, it hasn't been done.

One way is to have a separate folder with any .pde and ,java files class files that you might want to use in a number of sketches.
When you create a new sketch you can use Sketch | Add file and select the file you want from this folder and it will copy it into the sketch for you. Saves using Windows Explorer or Finder or whatever.

It still has the duplicate code and code maintainance problems that phi.lho identified.

Should point out that even using the contributed libraries can be problematic in that not all library developers ensure backward compatibility so you download the latest version of a library and find that sketches that used a previous version of the library no longer work.