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However, this script is no longer maintained and the current practice is to rely on meshio and XDMF formats (see here Transitioning from mesh.xml to mesh.xdmf, from dolfin-convert to meshio)