The wrappers are not generated during compilation, but during deployment. The easiest way to get hold of them is to run the EJB in the embedded OC4J server, this will cause a deployment to take place, and the wrappers will be generated.
You also need to set a switch for them to be generated. To do this you go to Project Properties -> Runner, and add the following switches:
-DKeepWrapperCode=true -DWrapperCodeDir=d:\tmpand the wrapper code will be generated into whatever directory you specified with the -DWrapperCodeDir switch.