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Yes, you'd need to create that folder. The directories in the template/<your_template>/html/ folder are not created automatically, and are only there if you're overriding a template file.. so if you've never done it for any of the other JomSocial templates, that folder will be missing.

So, you should create that folder and just copy the one file into it. You don't need to copy all the files from the JomSocial template there, just the ones you want to change.

Good luck,
Alex