If you use the legacy dolfin-convert script it should generate the *_physical_region.xml
and *_facet_region.xml
file automatically if you have properly tagged the corresponding domains and boundaries in your Gmsh script.
However, this script is no longer maintained and the current practice is to rely on meshio
and XDMF formats (see here Transitioning from mesh.xml to mesh.xdmf, from dolfin-convert to meshio)