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Where to implement custom walker class?

I have created a custom walker class for changing the output of menu items. Where do I place my custom walker class file at? I have tried to ask on the WordPress forum but it has gone 3 days with no response.

I have already created the class. I just don’t know where to physically put the code. Does it go in the existing class-wp-walker.php file or do I need to create my own file somewhere?

Thank you much!