Is there a step missing?
Yes. You need to create the directory:
mkdir ${HOME}/.ssh
Additionally, SSH requires you to set the permissions so that only you (the owner) can access anything in ~/.ssh:
% chmod 700 ~/.ssh
Should the
.sshdir be generated when I use thessh-keygencommand?
No. This command generates an SSH key pair but will fail if it cannot write to the required directory:
% ssh-keygen
Generating public/private rsa key pair.
Enter file in which to save the key (/Users/xxx/.ssh/id_rsa): /Users/tmp/does_not_exist
Enter passphrase (empty for no passphrase):
Enter same passphrase again:
open /Users/tmp/does_not_exist failed: No such file or directory.
Saving the key failed: /Users/tmp/does_not_exist.
Once you've created your keys, you should also restrict who can read those key files to just yourself:
% chmod -R go-wrx ~/.ssh/*